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Electricity pool prices / A. J. Conejo in Journal of the operational research society (JORS), Vol. 61 N° 2 (Fevrier 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 2 (Fevrier 2010) . - pp. 235–245 Titre : Electricity pool prices : long-term uncertainty characterization for futures-market trading and risk management Type de document : texte imprimé Auteurs : A. J. Conejo, Auteur ; F. J. Nogales, Auteur ; M. Carrión, Auteur Année de publication : 2011 Article en page(s) : pp. 235–245 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Electricity  pool  prices  Year-ahead  forecasting  Forward  trading  Futures  prices  Scenarios Index. décimale : 001.424 Résumé : Organized trading for electricity includes both the pool and the futures market. Pool prices are volatile while the prices of the futures-market products are comparatively more stable. Thus, futures-market products constitute hedging instruments to reduce the risk suffered by any market agent. Electricity market agents engage in both pool and futures market transactions seeking to maximize their respective profits/utilities for a given risk level on profit variability. To make informed decisions, the market agent must gather as much accurate information as possible on the pool prices covering the whole time horizon spanned by the futures-market product. This paper provides a novel technique to represent conveniently the uncertainty associated with pool prices during long- or medium-term horizons through a set of scenarios, that is, pool price realizations. The proposed technique uses the prices of the futures-market products as long-term explanatory variables and exploits the short-term structure of the pool prices. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n2/abs/jors2008140a.html [article] Electricity pool prices : long-term uncertainty characterization for futures-market trading and risk management [texte imprimé] / A. J. Conejo, Auteur ; F. J. Nogales, Auteur ; M. Carrión, Auteur . - 2011 . - pp. 235–245. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 2 (Fevrier 2010) . - pp. 235–245 Mots-clés : Electricity  pool  prices  Year-ahead  forecasting  Forward  trading  Futures  prices  Scenarios Index. décimale : 001.424 Résumé : Organized trading for electricity includes both the pool and the futures market. Pool prices are volatile while the prices of the futures-market products are comparatively more stable. Thus, futures-market products constitute hedging instruments to reduce the risk suffered by any market agent. Electricity market agents engage in both pool and futures market transactions seeking to maximize their respective profits/utilities for a given risk level on profit variability. To make informed decisions, the market agent must gather as much accurate information as possible on the pool prices covering the whole time horizon spanned by the futures-market product. This paper provides a novel technique to represent conveniently the uncertainty associated with pool prices during long- or medium-term horizons through a set of scenarios, that is, pool price realizations. The proposed technique uses the prices of the futures-market products as long-term explanatory variables and exploits the short-term structure of the pool prices. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n2/abs/jors2008140a.html