Spot price modeling and the valuation of electricity forward contracts : the role of demand and capacity.

We propose a model where wholesale electricity prices are explained by two state variables: demand and capacity. We derive analytical expressions to price forward contracts and to calculate the forward premium. We apply our model to the PJM, England and Wales, and Nord Pool markets. Our empirical findings indicate that volatility of demand is seasonal and that the market price of demand risk is also seasonal and positive, both of which exert an upward (seasonal) pressure on the price of forward contracts. We assume that both volatility of capacity and the market price of capacity risk are constant and find that, depending on the market and period under study, it could either exert an upward or downward pressure on forward prices. In all markets we find that the forward premium exhibits a seasonal pattern. During the months of high volatility of demand, forward contracts trade at a premium. During months of low volatility of demand, forwards can either trade at a relatively small premium or, even in some cases, at a discount, i.e. they exhibit a negative forward premiumPower prices; Demand; Capacity; Forward premium; Forward bias; Market price of capacity risk; Market price of demand risk; PJM; England and Wales; Nord pool;

Spot price modeling and the valuation of electricity forward contracts : the role of demand and capacity.

We propose a model where wholesale electricity prices are explained by two state variables: demand and capacity. We derive analytical expressions to price forward contracts and to calculate the forward premium. We apply our model to the PJM, England and Wales, and Nord Pool markets. Our empirical findings indicate that volatility of demand is seasonal and that the market price of demand risk is also seasonal and positive, both of which exert an upward (seasonal) pressure on the price of forward contracts. We assume that both volatility of capacity and the market price of capacity risk are constant and find that, depending on the market and period under study, it could either exert an upward or downward pressure on forward prices. In all markets we find that the forward premium exhibits a seasonal pattern. During the months of high volatility of demand, forward contracts trade at a premium. During months of low volatility of demand, forwards can either trade at a relatively small premium or, even in some cases, at a discount, i.e. they exhibit a negative forward premiumPower prices; Demand; Capacity; Forward premium; Forward bias; Market price of capacity risk; Market price of demand risk; PJM; England and Wales; Nord Pool;

MODELING ELECTRICITY PRICES: INTERNATIONAL EVIDENCE

This paper analyses the evolution of electricity prices in deregulated markets. We present a general model that simultaneously takes into account the possibility of several factors: seasonality, mean reversion, GARCH behaviour and time-dependent jumps. The model is applied to equilibrium spot prices of electricity markets from Argentina, Australia (Victoria), New Zealand (Hayward), NordPool (Scandinavia), Spain and U.S. (PJM) using daily data. Six different nested models were estimated to compare the relative importance of each factor and their interactions. We obtained that electricity prices are mean-reverting with strong volatility (GARCH) and jumps of time-dependent intensity even after adjusting for seasonality. We also provide a detailed unit root analysis of electricity prices against mean reversion, in the presence of jumps and GARCH errors, and propose a new powerful procedure based on bootstrap techniques.

Modeling electricity prices: international evidence

This paper analyses the evolution of electricity prices in deregulated markets. We present a general model that simultaneously takes into account the possibility of several factors: seasonality, mean reversion, GARCH behaviour and time-dependent jumps. The model is applied to equilibrium spot prices of electricity markets from Argentina, Australia (Victoria), New Zealand (Hayward), NordPool (Scandinavia), Spain and U.S. (PJM) using daily data. Six different nested models were estimated to compare the relative importance of each factor and their interactions. We obtained that electricity prices are mean-reverting with strong volatility (GARCH) and jumps of time-dependent intensity even after adjusting for seasonality. We also provide a detailed unit root analysis of electricity prices against mean reversion, in the presence of jumps and GARCH errors, and propose a new powerful procedure based on bootstrap techniques

Valoración y gestión de riesgos en mercados eléctricos liberalizados

Esta Tesis Doctoral analiza el comportamiento del precio de la electricidad en mercados eléctricos liberalizados, así como el desarrollo de modelos de valoración de derivados eléctricos. El cuerpo central de esta Tesis Doctoral está formado por tres artículos independientes. En el primer capítulo, se presenta un modelo eco no métrico para las series de precios, que captura simultáneamente la posible presencia de varios factores: estacionalidad, reversión a la media, heterocedasticidad (GARCH) y saltos (dependientes en el tiempo). Posteriormente se propone un modelo para la valoración de contratos de futuros eléctricos que incorpore la posibilidad de saltos. La modelización propuesta introduce la posibilidad de saltos en una de las variables de estado y permite obtener fórmulas analíticas para el precio de futuros. Los resultados del modelo muestran la importancia de la prima de riesgo por salto. Finalmente, se propone un modelo de valoración de derivados donde las variables relevantes son la demanda y la capacidad de generación (oferta). Se obtienen fórmulas analíticas de valoración y se analizan los efectos de las variables de estado sobre el precio del contrato de futuro y sobre la prima de riesgo

Constraints on Higgs boson production with large transverse momentum using H →b b ¯ decays in the ATLAS detector

This paper reports constraints on Higgs boson production with transverse momentum above 1 TeV. The analyzed data from proton-proton collisions at a center-of-mass energy of 13 TeV were recorded with the ATLAS detector at the Large Hadron Collider from 2015 to 2018 and correspond to an integrated luminosity of 136 fb-1. Higgs bosons decaying into bb¯ are reconstructed as single large-radius jets recoiling against a hadronic system and are identified by the experimental signature of two b-hadron decays. The experimental techniques are validated in the same kinematic regime using the Z→bb¯ process. The 95% confidence-level upper limit on the cross section for Higgs boson production with transverse momentum above 450 GeV is 115 fb, and above 1 TeV it is 9.6 fb. The Standard Model cross section predictions for a Higgs boson with a mass of 125 GeV in the same kinematic regions are 18.4 fb and 0.13 fb, respectively

Measurement of the polarisation of single top quarks and antiquarks produced in the t-channel at √s = 13 TeV and bounds on the tWb dipole operator from the ATLAS experiment

A simultaneous measurement of the three components of the top-quark and top-antiquark polarisation vectors in t-channel single-top-quark production is presented. This analysis is based on data from proton–proton collisions at a centre-of-mass energy of 13 TeV corresponding to an integrated luminosity of 139 fb, collected with the ATLAS detector at the LHC. Selected events contain exactly one isolated electron or muon, large missing transverse momentum and exactly two jets, one being b-tagged. Stringent selection requirements are applied to discriminate t-channel single-top-quark events from the background contributions. The top-quark and top-antiquark polarisation vectors are measured from the distributions of the direction cosines of the charged-lepton momentum in the top-quark rest frame. The three components of the polarisation vector for the selected top-quark event sample are Px′ = 0.01 ± 0.18, Py′ = −0.029 ± 0.027, Pz′ = 0.91 ± 0.10 and for the top-antiquark event sample they are Px′ = −0.02 ± 0.20, Py′ = −0.007 ± 0.051, Pz′ = 0.79 ± 0.16. Normalised differential cross-sections corrected to a fiducial region at the stable-particle level are presented as a function of the charged-lepton angles for top-quark and top-antiquark events inclusively and separately. These measurements are in agreement with Standard Model predictions. The angular differential cross-sections are used to derive bounds on the complex Wilson coefficient of the dimension-six O operator in the framework of an effective field theory. The obtained bounds are C ∈ [−0.9, 1.4] and C ∈ [−0.8, 0.2], both at 95% confidence level. [Figure not available: see fulltext.]

Study of Bc+→J/ψDs+ and Bc+→J/ψDs∗+ decays in pp collisions at √s = 13 TeV with the ATLAS detector

A study of Bc+→J/ψDs+ and Bc+→J/ψDs∗+ decays using 139 fb of integrated luminosity collected with the ATLAS detector from s = 13 TeV pp collisions at the LHC is presented. The ratios of the branching fractions of the two decays to the branching fraction of the Bc+→ J/ψπ decay are measured: B(Bc+→J/ψDs+)/B(Bc+→J/ψπ+) = 2.76 ± 0.47 and B(Bc+→J/ψDs∗+)/B(Bc+→J/ψπ+) = 5.33 ± 0.96. The ratio of the branching fractions of the two decays is found to be B(Bc+→J/ψDs∗+)/B(Bc+→J/ψDs∗+) = 1.93 ± 0.26. For the Bc+→J/ψDs∗+ decay, the transverse polarization fraction, Γ/Γ, is measured to be 0.70 ± 0.11. The reported uncertainties include both the statistical and systematic components added in quadrature. The precision of the measurements exceeds that in all previous studies of these decays. These results supersede those obtained in the earlier ATLAS study of the same decays with s = 7 and 8 TeV pp collision data. A comparison with available theoretical predictions for the measured quantities is presented. [Figure not available: see fulltext.]

A search for an unexpected asymmetry in the production of e(+)mu(-) and e(-)mu(+) pairs in proton-proton collisions recorded by the ATLAS detector at root s=13 TeV

This search, a type not previously performed at ATLAS, uses a comparison of the production cross sections for e(+)mu(-) and e(-)mu(+) pairs to constrain physics processes beyond the Standard Model. It uses 139 fb(-1) of proton-proton collision data recorded at root s = 13 TeV at the LHC. Targeting sources of new physics which prefer final states containing e(+)mu(-) and e(-)mu(+), the search contains two broad signal regions which are used to provide model-independent constraints on the ratio of cross sections at the 2% level. The search also has two special selections targeting supersymmetric models and leptoquark signatures. Observations using one of these selections are able to exclude, at 95% confidence level, singly produced smuons with masses up to 640 GeV in a model in which the only other light sparticle is a neutralino when the R-parity-violating coupling lambda(23)(1)' is close to unity. Observations using the other selection exclude scalar leptoquarks with masses below 1880 GeV when g(1R)(eu) = g(1R)(mu c) = 1, at 95% confidence level. The limit on the coupling reduces to g(1R)(eu) = g(1R)(mu c) = 0.46 for a mass of 1420 GeV