Fat Tails in Power Prices

Spot power prices exhibit extreme price jumps and the tendency to oscillate around a long-term mean. Despite these well-known characteristics, electricity price models used for Monte Carlo simulations, VaR related measures, or derivatives valuation, often assume normally distributed residuals. In this paper, we examine the distributional characteristics of model residuals and show that the hypothesis of normality is rejected due to significant tail fatness and skewness. We then examine the Student-t distribution as a candidate fit for residuals and as an alternative distribution for random innovations in Monte Carlo simulations. The resulting price patterns clearly show that simulations based on the Student-t distribution resemble more closely actual power price patters. We then discuss the implications of our results for risk management.modelling;risk management;extreme value theory;Monte Carlo simulations;electricity price;spikes

Hourly Electricity Prices in Day-Ahead Markets

This paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The dynamics of hourly electricity prices does not behave as a time series process. Instead, these prices should be treated as a panel in which the prices of 24 cross-sectional hours vary from day to day. This paper introduces a panel model for hourly electricity prices in day-ahead markets and examines their characteristics. The results show that hourly electricity prices exhibit hourly specific mean-reversion and that they oscillate around an hourly specific mean price level. Furthermore, a block structured cross-sectional correlation pattern between the hours is apparent.Day-ahead electricity;Electricity prices;Energy markets;Panel models

Fat Tails in Power Prices

Spot power prices exhibit extreme price jumps and the tendency to oscillate around a long-term mean. Despite these well-known characteristics, electricity price models used for Monte Carlo simulations, VaR related measures, or derivatives valuation, often assume normally distributed residuals. In this paper, we examine the distributional characteristics of model residuals and show that the hypothesis of normality is rejected due to significant tail fatness and skewness. We then examine the Student-t distribution as a candidate fit for residuals and as an alternative distribution for random innovations in Monte Carlo simulations. The resulting price patterns clearly show that simulations based on the Student-t distribution resemble more closely actual power price patters. We then discuss the implications of our results for risk management

Being in Balance: Economic Efficiency in the Dutch Power Market

In this paper, we examine economic efficiency in the Dutch power market, an important pillar for successful creation of a competitive and non-discriminatory free power market. We examine historical time series of prices and volumes on the Dutch balancing market where energy companies are obliged to offer reserve capacity in order to offset power surpluses and deficits on the grid. We argue that these balancing prices and volumes are indicators for the level of economic efficiency. We find evidence that the level of economic efficiency has increased in the Dutch power market while the level of security of supply has maintained

Hourly Electricity Prices in Day-Ahead Markets

This paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The dynamics of hourly electricity prices does not behave as a time series process. Instead, these prices should be treated as a panel in which the prices of 24 cross-sectional hours vary from day to day. This paper introduces a panel model for hourly electricity prices in day-ahead markets and examines their characteristics. The results show that hourly electricity prices exhibit hourly specific mean-reversion and that they oscillate around an hourly specific mean price level. Furthermore, a block structured cross-sectional correlation pattern between the hours is apparent

Suburban bliss or disillusionment: why do terrorists quit?

Security and Global Affair

Non-excisional techniques for the treatment of intergluteal pilonidal sinus disease:a systematic review

Non-excisional techniques for pilonidal sinus disease (PSD) have gained popularity over the last years. The aim of this study was to review short and long-term outcomes for non-excisional techniques with special focus on the additive effect of treatment of the inner lining of the sinus cavity and the difference between primary and recurrent PSD. A systematic search was conducted in Embase, Medline, Web of Science Core Collection, Cochrane and Google Scholar databases for studies on non-excisional techniques for PSD including pit picking techniques with or without additional laser or phenol treatment, unroofing, endoscopic techniques and thrombin gelatin matrix application. Outcomes were recurrence rates, healing rates, complication rates, wound healing times and time taken to return to daily activities. In total, 31 studies comprising 8100 patients were included. Non-excisional techniques had overall healing rates ranging from 67 to 100%. Recurrence rates for pit picking, unroofing and gelatin matrix application varied from 0 to 16% depending on the follow-up time. Recurrence rates after additional laser, phenol and endoscopic techniques varied from 0 to 29%. Complication rates ranged from 0 to 16%, and the wound healing time was between three and forty-seven days. The return to daily activities varied from one to nine days. Non-excisional techniques are associated with fast recovery and low morbidity but recurrence rates are high. Techniques that attempt to additionally treat the inner lining of the sinus have worse recurrence rates than pit picking alone. Recurrence rates do not differ between primary and recurrent disease.</p

Impact of sex on timing and clinical outcome of septal myectomy for obstructive hypertrophic cardiomyopathy

Background: Sex disparities are common in hypertrophic cardiomyopathy (HCM). Previous research has shown that at time of myectomy, women are older, have greater impairment of diastolic function and more advanced cardiac remodeling. The clinical impact of these differences is unknown. Method: This study included 162 HCM patients (61% m

Frequency and Significance of Coronary Artery Disease and Myocardial Bridging in Patients With Hypertrophic Cardiomyopathy

The etiology of chest pain in hypertrophic cardiomyopathy (HC) is diverse and includes coronary artery disease (CAD) as well as HC-specific causes. Myocardial bridging (MB) has been associated with HC, chest pain, and accelerated atherosclerosis. We compared HC patients with age-, gender- and CAD pre-test probability-matched outpatients presenting with chest pain to investigate differences in the presence of MB and CAD using coronary computed tomography angiography (CCTA). We studied 84 HC patients who underwent CCTA and compared these with 168 matched controls (age 54 ± 11 years, 70% men, pre-test probability 12% [5% to 32%]). MB, calcium score, plaque morphology and presence and extent of CAD were assessed for each patient. Linear mixed models were used to assess differences between cases and controls. MB was more often seen in HC patients (50% vs 25%, p <0.001). Calcium score and the presence of obstructive CAD were similar in both groups (9 [0 to 225] vs 4 [0 to 82] and 18% vs 19%; p = 0.22 and p = 0.82). In the HC group, MB was associated with pathogenic DNA variants (p = 0.04), but not with the presence of chest pain (74% vs 76%, p = 0.8), nor with worse outcome (log-rank p = 0.30). In conclusion, the prevalence and extent of CAD was equal among patients with and without HC, demonstrating that pre-test risk prediction using the CAD Consortium clinical risk score performs well in HC patients. MB was twice as prevalent in the HC group compared with matched controls, but was not associated with chest pain or decreased event-free survival in these patients