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Combining Bottom-up and Finance Modelling for Electricity Markets

  • Conference paper
Operations Research Proceedings 2002

Part of the book series: Operations Research Proceedings 2002 ((ORP,volume 2002))

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Abstract

The high price volatility observed on liberalised electricity spot markets requires detailed modeling to successfully manage price risks. For example, in December 2001 prices at the German power exchange LPX exceeded 1000 €/MWh for certain hours, whereas the yearly average is around 22 €/MWh. In the USA even price spikes with more than 9,000 €/MWh have been observed. Also outside extreme events, price changes of 20% from one day to another are not unusual. In order to cope with this volatility, price models are needed which reflect the particularities of the electricity market, notably the non-storability of electricity. On the other hand, also the experience from other commodity markets has to be integrated in any model for electricity prices. Therefore, in the following a model is presented which combines several approaches.

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Author information

Authors and Affiliations

  1. Institute of Energy Economics and the Rational Use of Energy (IER), University of Stuttgart, Germany

    Christoph Weber

Authors
  1. Christoph Weber
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Editor information

Editors and Affiliations

  1. Institut für Statistik und Operations Research, Universität Graz, Universitätsstraße 15/E3, 8010, Graz, Austria

    Ulrike Leopold-Wildburger

  2. Institut für Mathematik, Universität Klagenfurt, 9020, Klagenfurt, Austria

    Franz Rendl

  3. Fakultät für Wirtschaftswissenschaften BWL VIII: Management Science, Otto-von-Guericke-Universität Magdeburg, 39016, Postfach 4120, Magdeburg, Germany

    Gerhard Wäscher

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© 2003 Springer-Verlag Berlin Heidelberg

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Weber, C. (2003). Combining Bottom-up and Finance Modelling for Electricity Markets. In: Leopold-Wildburger, U., Rendl, F., Wäscher, G. (eds) Operations Research Proceedings 2002. Operations Research Proceedings 2002, vol 2002. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55537-4_44

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  • DOI: https://doi.org/10.1007/978-3-642-55537-4_44

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-00387-8

  • Online ISBN: 978-3-642-55537-4

  • eBook Packages: Springer Book Archive

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