Forecasting Italian Electricity Zonal Prices with Exogenous Variables

In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore, this contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration and congestions. We aim to understand how technologies, concentration and congestions affect the zonal prices since these ones combine to bring about the single national price (prezzo unico d’acquisto, PUN). Hence, understanding its features is important for drawing policy indications referred to production planning and selection of generation sources, pricing and risk–hedging problems, monitoring of market power positions and finally to motivate investment strategies in new power plants and grid interconnections. Implementing Reg–ARFIMA–GARCH models, we assess the forecasting performance of selected models showing that they perform better when these factors are considered.Electricity prices, Production technologies, Market power (HHI, RSI), Congestions, Fractional Integration, Forecasting

A rough examination of the value of gas storage

This paper studies the impast of a fire in 2006 which removed the possibility of access to the Rough gas storage facilities covering 80% of total UK storage, at a time when major withdrawals from storage would likely have taken place. Implicitly, it shows the value of such storage facilities, in a country with relatively little storage, where we might therefore see a considerable impact. We find that the major effect on activity was through an increased sensivity of supply to prices and an increased variance in this sensitivity, not through plysical shortages of gas

A Rough Examination of the value of gas storage

This paper studies the impast of a fire in 2006 which removed the possibility of access to the Rough gas storage facilities covering 80% of total UK storage, at a time when major withdrawals from storage would likely have taken place. Implicitly, it shows the value of such storage facilities, in a country with relatively little storage, where we might therefore see a considerable impact. We find that the major effect on activity was through an increased sensivity of supply to prices and an increased variance in this sensitivity, not through plysical shortages of gas.

Scale Economies and Heterogeneity in Business Money Demand : The Italian Experience

This paper investigates the demand for money by firms and the existence of economies of scales in order to evaluate the efficiency in the cash management of the Italian manufacturing industry. We estimate a money demand for cash elaborated by Fujiki and Mulligan (1996). Estimates differ from the previous literature firstly, because we use a choice dynamic model to overcome endogeneity problems in cash holdings; secondly, because we use an iterative procedure based on backward exclusion of firms from model estimation with which we point out the high heterogeneity of Italian companies in money demand. Our estimates show that the Italian Manufacturing industry, considered as whole, does not enjoy scale economies in money demand. Our iterative procedure points out that the cause of this result is to be ascribed to small firms which are characterized by thin cash money holdings and a consequently very modest opportunity cost. Once small size firms are removed from our data set our estimates reveal that money demand of medium and large size firms is different for high scale economies. This result, together with the fact that small firms’ cash balances are thin, implies the efficiency of Italian manufacturing industry.

Price transmission in the UK electricity market : was NETA beneficial?

This paper explores the relationship between domestic retail electricity prices in Great Britain and their determinants in the particular context of the New Electricity Trading Arrangements (NETA) introduced in 2001. The analysis requires a consistent comparison of wholesale power price series before and after NETA, which we investigate using a range of wholesale future price series. Despite its stated intention of reducing prices, we conclude that the net effect of NETA alongside other developments instead merely rearranged where money was made in the system.Electricity generation ; electricity supply ; retail pricing ; futures markets ; energy market competition

On the critical points of semi-stable solutions on convex domains of Riemannian surfaces

In this paper we consider semilinear equations $-\Delta u=f(u)$ with Dirichlet boundary conditions on certain convex domains of the two dimensional model spaces of constant curvature. We prove that a positive, semi-stable solution $u$ has exactly one non-degenerate critical point (a maximum). The proof consists in relating the critical points of the solution with the critical points of a suitable auxiliary function, jointly with a topological degree argument

The influence of renewables on electricity price forecasting: a robust approach

In this paper a robust approach to modelling electricity spot prices is introduced. Differently from what has been recently done in the literature on electricity price forecasting, where the attention has been mainly drawn by the prediction of spikes, the focus of this contribution is on the robust estimation of nonlinear SETARX models (Self-Exciting Threshold Auto Regressive models with eXogenous regressors). In this way, parameters estimates are not, or very lightly, influenced by the presence of extreme observations and the large majority of prices, which are not spikes, could be better forecasted. A Monte Carlo study is carried out in order to select the best weighting function for Generalized M-estimators of SETAR processes. A robust procedure to select and estimate nonlinear processes for electricity prices is introduced, including robust tests for stationarity and nonlinearity and robust information criteria. The application of the procedure to the Italian electricity market reveals the forecasting superiority of the robust GM-estimator based on the polynomial weighting function respect to the non-robust Least Squares estimator. Finally, the introduction of external regressors in the robust estimation of SETARX processes contributes to the improvement of the forecasting ability of the model

'Pure' Constructional Apraxia—A Cognitive Analysis of a Single Case

We report on a patient affected by selective drawing disabilities. The patient could correctly reproduce and draw simple geometric figures on request, but when he tried to reproduce more complex drawings or to draw common objects he performed very poorly. To identify the cognitive impairment in this patient, we adopted two test batteries based on recent information-processing models of drawing. Results showed that the patient's drawing disabilities were independent of visuo-perceptual and executive impairments. These findings support recent cognitive models of drawing abilities: some intermediate stages of drawing exist at which information is processed to prepare and guide motor output, and which may be selectively disrupted after discrete cerebral lesions

Essays on the Italian electricity market

The thesis is a collection of three empirical essays focussing on the Italian electricity market. The first chapter, titled “Assessing market power in the Italian electricity market: a synthetic supply approach”, is a joint work with Prof. Luigi Grossi and Prof. Michael. G. Pollitt and was published among the Energy Policy Research Group Working Papers (no. 1930). This chapter investigates the bidding behaviour of the leading firms in the Italian electricity market, in particular on the Italian day-ahead market. The methodology adopted is synthetic supply, proposed by Ciarreta et al (2010), which consists in a two-step procedure, i.e. 1) power plants association and 2) hourly bidding schedule “translation”. Thanks to synthetic supply it is possible to create hourly counterfactual supply curves and see if there are differences between actual and synthetic equilibria. In other words, the idea is to investigate the difference in mark-up between the bidding schedules of power plants with very similar features. For this reason, power plants were associated with very strict criteria: technology, energy efficiency and many others. Furthermore, an algorithm in R was developed to compute hourly equilibria in the day-ahead market. This way, it is possible to assess if there are any differences between the bidding behaviour of the leading operators and the bidding behaviour of smaller generators. The findings suggest that during the years under examination (2015-2018), the market underwent higher prices and a non-negligible consumer surplus loss, especially during the months when above average heating and cooling were required. The second chapter, titled “Detecting strategic capacity withholding through a synthetic supply approach - Cui Prodest?”, puts forward a new methodology in the field of market monitoring. The methodology of synthetic supply and the R code are employed. However, the way synthetic supply is used in this chapter is completely new. A four-step procedure is proposed to investigate strategic capacity withholding, i.e. 1) hourly supply curves are created and extra capacity is artificially added to the supply schedule, 2) synthetic and actual prices are compared and anomalous price spikes detected, 3) synthetic and actual revenues are compared, to see if any market operator could have obtained more revenues from a scenario where some capacity was withheld, 4) the SSCW index is proposed to better interpret the results. The chapter carries out an empirical analysis of the Italian day-ahead market in 2018. This approach is a significant contribution to the literature because it enables the analysis of manipulative behaviour with a different perspective compared to the methodology currently available. The third chapter, titled “Covid-19 and the Italian electricity market: impacts, developments and implications”, investigates the effects of the restrictive measures employed by the Italian Government in response to Covid-19 on the Italian electricity market. This chapter presents a data description of the main market variables of the electricity market and uses an econometric model to estimate the effects of geographical and production lockdowns on the zonal quantities purchased and on the PUN (nationwide unit price). Data suggests that both quantity purchased, and prices were affected by the lockdowns, especially in the bidding areas of Northern Italy. The bidding zones of Southern Italy seem to be considerably less affected by restrictive measures. This is also confirmed by the econometric model. In addition, fall in demand led to a smaller quantity purchased, compared to the corresponding weeks in previous years, leading to substantial changes in the mix of energy sources. This chapter proposes a complete description of the evolution of the electricity market during the pandemic and provides useful policy recommendations on how financial resources should be allocated to relieve the Italian economy

Qualitative graphical representation of Nyquist plots

In this paper, the procedure for manually drawing the Nyquist plot of a generic transfer function is revised and, in particular, two novel parameters (\u394\u3c4\u394\u3c4, \u394p\u394p), which allow to simplify this process, are presented. Thanks to these parameters, the analysis of the frequency response at low and high frequencies is considerably enhanced, with a very little effort. These parameters allow to predict initial and final directions of the polar curve in the vicinity of initial and final points and consequently the sectors of the complex plane where the plot starts/ends. In many cases it is possible to obtain a qualitative Nyquist plot, able to correctly predict the stability properties of the closed-loop system, by simply joining the initial and final tracts found with the proposed procedure. Moreover, the analysis based on these parameters can aid to correctly interpret the plots obtained with computer programs which often, in particular when poles at the origin are present, hide the behavior of the frequency response in the area close to the origin of the complex plane