The Journal of Energy Markets 

About: The Journal of Energy Markets is an academic journal published by Infopro Digital. The journal publishes majorly in the area(s): Futures contract & Spot contract. It has an ISSN identifier of 1756-3607. Over the lifetime, 249 publications have been published receiving 2328 citations. The journal is also known as: Energy markets.

The information premium for non-storable commodities

Abstract: For non-storable commodities forward looking information about market conditions is not necessarily incorporated in today’s prices, and the standard assumption that the information filtration is generated by the asset is fundamentally wrong. Electricity and weather are the typical markets we have in mind. We discuss pricing of forward contracts on non-storable commodities based on an enlargement of the information filtration. The method is able to incorporate future information of the spot, which is not accounted for in the present spot price behaviour. The notions of information drift and premium are introduced, and we argue that significant parts of the supposedly irregular market price of risk observed in electricity markets is in reality due to information miss-specification in the model. Some examples based on Brownian motion and Lévy processes and the theory of initial enlargement of filtrations are considered, where we are able to shed some insight into the nature of the information drift and premium being relevant for the electricity markets. The examples include cases where we take temperature forecasts and CO2 emission costs into account when pricing electricity forwards.

Development of Open Source Software for Power Market Research: The AMES Test Bed

Abstract: Open Source Software (OSS) expresses the idea that developers should be able to license the publication of their software in a manner permitting anyone to freely use, modify, and distribute the software. Today OSS is widely used in the software industry, such as for language development tools (e.g., NetBeans for Java), office document processors (e.g., OpenOffice), and operating systems (e.g., Linux, OpenSolaris). Yet OSS has been slow to penetrate the power industry; heavy reliance is still placed on closed-source commercial software packages. The OSS in use tends to be for specialized purposes (e.g., circuit design) rather than for the general-purpose analysis of power systems. This study discusses potential benefits and drawbacks of developing OSS for power market research, using the AMES Wholesale Power Market Test Bed for concrete illustration.

Stochastic behaviour of the electricity bid stack: from fundamental drivers to power price

Abstract: We develop a fundamental model for spot electricity prices, based on stochastic processes for underlying factors (fuel prices, power demand and generation capacity availability), as well as a parametric form for the bid stack function which maps these price drivers to the power price. Using observed bid data, we find high correlations between the movements of bids and the corresponding fuel prices. We fit the model to the PJM and New England markets in the US, anddiscuss its performance, in terms of capturing key properties of simulated price trajectories, as well as comparing implied forward prices with observed data.

Market power in the German wholesale electricity market

Abstract: Since 2001, wholesale electricity prices have increased dramatically in Europe and especially in Germany. It has been argued that utilities have been exercising market power by withholding available power plant capacity. In this paper we investigate the exercise of market power in the German wholesale electricity market with an agent-based simulation model that uses detailed German wholesale power market data. The analysis was carried out for the years 2001, 2004, 2005 and 2006. We start with 2001 as it is seen as a year with well-functioning competition that validates this model. The year 2004 was chosen because it was the last year without emissions trading. In 2005 the EU emissions trading scheme started; this was accompanied by rising prices and “windfall profits” for electricity generating companies; 2006 was chosen because it supposedly suffered from “bad competition”. We test our results with the Lerner Index, but find that they do not necessarily confirm the exertion of market power.