Risk Premiums in the German Day-Ahead Electricity Market

This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market taking place prior to EEX. As OTC price data are not publicly available, data provided by the Energy Exchange Austria (EXAA) have been used as a snapshot of the OTC market. It has been found that market participants are willing to pay both, positive and negative premiums for hourly contracts that are significantly different from zero. The largest positive premiums were paid for evening peak hours on weekdays during winter months, the period of time with the highest electricity consumption levels of the year. By contrast, night hours on weekends featuring lowest demand levels display negative premiums. Hence, findings by Longstaff and Wang (2004) can be supported that power traders in liberalised markets behave like riskaverse rational economic agents.Electricity trading; Risk premium; EEX

Risk premiums in the German day-ahead electricity market

This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market taking place prior to EEX. As OTC price data are not publicly available, data provided by the Energy Exchange Austria (EXAA) have been used as a snapshot of the OTC market. It has been found that market participants are willing to pay both, positive and negative premiums for hourly contracts that are significantly different from zero. The largest positive premiums were paid for evening peak hours on weekdays during winter months, the period of time with the highest electricity consumption levels of the year. By contrast, night hours on weekends featuring lowest demand levels display negative premiums. Hence, findings by Longstaff and Wang (2004) can be supported that power traders in liberalised markets behave like riskaverse rational economic agents

Essays on market design and strategic behaviour in short-term power markets

The thesis at hand consists of four essays. The first essay “State of the German short-term power market” is an extensive meta study that covers the main short-term power markets with focus on trading, efficiency and market design issues The markets considered are the day-ahead (DA)-market, cross-border trading and redispatch, intraday trading, ancillary services and the balancing energy market. In my second essay “Risk Premiums in the German Day-Ahead Electricity Market”, I conduct an empirical analysis of risk premiums and find that market participants are willing to pay both significant positive and negative premiums for hourly contracts. Additionally, an ex ante analysis finds a strong positive correlation between the expected tightness of the system and positive premiums. Hence, I conclude that power traders in the liberalised German market behave like risk-averse rational economic agents. In the third essay “The Value of Information in Explicit Cross-Border Capacity Auction Regimes in Electricity Markets”, which is joined work with my co-author Jan Richter, we analyse the strategic behavior of firms endowed with transmission rights. We identify three forces that diminish social welfare: firms play a Cournot game, the presence of capacity constraints and incomplete information. The fourth essay “Multi-unit multiple bid auctions in balancing markets: an agent-based Q-learning approach” is joined work with my co-authors Stefan Lorenczik and Raimund Malischek. We compare the two common auction types Uniform Price Auction (UPA) and Discriminatory Price Auction (DPA). We observe that UPAs lead to higher prices for all market settings. This is mainly due to the fact that players aggressively engage in bid shading. Even though we find that UPAs generally feature higher efficiencies, we show exceptions to this rule. Finally, we are able to analyse the influence of published information concerning previous auctions on prices

Reusing risk analysis results - an extension for the CORAS risk analysis method

This paper shows how the results of CORAS risk analysis can be reused and combined. It introduces new models, diagram types and procedures as an extension of the CORAS method. Taking risk analysis artifacts generated for the individ-ual base components as input, probability values for unwanted incidents of complex systems can be calculated if the relations between these artifacts are modeled correctly. Initially developed for the S-Network, a trustworthy repository, this extension is predestined for analyzing large scale systems consisting of heter-ogeneous components, which no single analyst team could handle

Ergänzungen zu „Das S-Netzwerk und seine potenzielle wirtschaftliche Bedeutung"

Die vorliegende Publikation enthält einige Inhalte, die im Zuge meiner Arbeit an meiner Dissertation Das S-Netzwerk und seine potenzielle wirtschaftliche Bedeutung an der TU Berlin erschaffen wurden. Diese Inhalte wurden letztlich nicht in die Dissertation selbst aufgenommen, um deren Umfang auf 300 Seiten zu reduzieren. Der Autor ist jedoch der Meinung, dass diese Inhalte ebenfalls wichtig sind und zu einer umfassenden Darstellung unbedingt dazugehören. Daher wurde hiermit eine externe Publikation geschaffen, auf die aus der Dissertation heraus verwiesen wird. Für den Leser wurde eine Zusammenfassung der Dissertation in diese Publikation aufgenommen, um das Verständnis zu erleichtern. Dennoch ist diese Ergänzung ohne den Volltext oder andere Publikationen zum Thema S-Netzwerk und Jadwirtschaft nur von begrenztem Nutzen. Die Dissertation selbst wird naturgemäß erst nach dieser Publikation veröffentlicht werden, weil aus ihr heraus auf diese Publikation verwiesen wird. Bereits verfügbar sind hingegen z. B. folgende Publikationen: • Johannes Viehmann: Secure communication with secret sharing in static computer networks with partition in mistrust parties; 2011 Ninth Annual International Conference on Privacy, Security and Trust (PST) Montreal, Quebec, Canada, July 19-21, S.205-212; IEEE 2011 Print-ISBN: 978-1-4577-0582-3; DOI: 10.1109/PST.2011.5971985 http://ieeexplore.ieee.org/xpls/abs all.jsp?arnumber=5971985 (2011-11-14) • Johannes Viehmann: The Theory of Creating Trust with a Set of Mistrust-Parties and its Exemplary Application for the S-Network; Proceedings of Tenth Annual Conference on Privacy, Security and Trust (PST), Paris (France) 2012, S.185-194; IEEE 2012 Print ISBN: 978-1-4673-2323-9, DOI: 10.1109/PST.2012.6297939 http://ieeexplore.ieee.org/xpl/articleDetails.jsp?arnumber=6297939 (2013-07-22

The value of information in explicit cross-border capacity auction regimes in electricity markets

We study two electricity markets connected by a fixed amount of cross-border capacity. The total amount of capacity is known to all electricity traders and allocated via an auction. The capacity allocated to each bidder in the auction remains private information. We assume that traders are faced with a demand function reflecting the relationship between electricity transmitted between the markets and the spot price difference. Therefore, traders act like Bayesian-Cournot oligopolists in exercising their transmission rights when presented with incomplete information about the competitors' capacities. Our analysis breaks down the welfare effect into three different components: Cournot behavior, capacity constraints, and incomplete information. We find that social welfare increases with the level of information with which traders are endowed. (C) 2014 Elsevier Ltd. All rights reserved