Spot contract

About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.

Can Agent-Based Models Forecast Spot Prices in Electricity Markets? Evidence from the New Zealand Electricity Market

Abstract: Modelling price formation in electricity markets is a notoriously difficult process, due to physical constraints on electricity generation and flow. This difficulty has inspired the recent development of bottom-up agent-based models of electricity markets. While these have proven quite successful in small models, few authors have attempted any validation of their model against real-world data in a more realistic model. In this paper, we take one of the most promising algorithms, the modified Roth and Erev algorithm, and apply it to a 19-node simplification of the New Zealand electricity market. Once key variables such as water storage are accounted for, we show that our model can mimic short-run (weekly) electricity prices at these 19 key nodes quite closely.

European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production

Abstract: This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). First, the presence of two structural changes on April, 2006 following the disclosure of 2005 veri?ed emissions and on October, 2006 following the European Commission announcement of stricter Phase II allocation allow to isolate distinct fundamentals evolv- ing overtime. The results extend previous literature by showing that spot prices react not only to other energy markets and temperatures, but also to economic activity within the main sectors covered by the EU ETS such as proxied by sectoral production indices. Besides, the sub-period decomposition of the pilot phase gives a better grasp of institutional and market events that drive allowance price changes.

Use Of The Par( p ) Model In The Stochastic Dual Dynamic Programming Optimization Scheme Used In The Operation Planning Of The Brazilian Hydropower System

Abstract: In September 2000, the Brazilian system dispatch and spot prices were calculated twice, using different inflow forecasts for that month, as in the last 5 days of August the inflows to the reservoirs in the South and Southeast regions changed 200%. The first run used a smaller forecasted energy inflow and the second used a higher energy inflow. Contrary to expectations, the spot price in the second run, with the higher energy inflow, was higher than the one found in the first run. This paper describes the problem, presents the special features of the PAR(p) model that allow the described behavior, and shows the solution taken to avoid the problem.

Value chain management for commodities: a case study from the chemical industry

Abstract: We present a planning model for chemical commodities related to an industry case. Commodities are standard chemicals characterized by sales and supply volatility in volume and value. Increasing and volatile prices of crude oil-dependent raw materials require coordination of sales and supply decisions by volume and value throughout the value chain to ensure profitability. Contract and spot demand differentiation with volatile and uncertain spot prices, spot sales quantity flexibility, spot sales priceȁ3quantity functions and variable raw material consumption rates in production are problem specifics to be considered. Existing chemical industry planning models are limited to production and distribution decisions to minimize costs or makespan. Demand-oriented models focus on uncertainty in demand quantities not in prices.We develop an integrated model to optimize profit by coordinating sales quantity, price and supply decisions throughout the value chain. A two-phase optimization approach supports robust planning ensuring minimum profitability even in case of worst-case spot sales price scenarios. Model evaluations with industry case data demonstrate the impact of elasticities, variable raw material consumption rates and price uncertainties on planned profit and volumes.

Are commodity prices more volatile now ? a long-run perspective

Abstract: Soaring commodity prices in 2007 and 2008 raised concerns that volatility was also rising, which would have implications for welfare and therefore for the design of public policy interventions. The literature focuses on trends in commodity prices rather than their volatility characteristics. This paper contributes by examining commodity price volatility with a newly compiled monthly panel dataset on 45 individual commodity prices from the end of the 18th century until today. The main conclusions are: the timing and number of breaks in volatility vary considerably across individual commodities, cautioning against generalizations based on the use of commodity price indices; the three most significant breaks common to most commodities are the two world wars and the collapse of the Bretton-Woods system; and structural breaks marking increased price volatility are followed by breaks marking declines in volatility so that there is no upward or downward trend in volatility over time.