Topic
Spot contract
About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.
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TL;DR: In this paper, the authors investigated the long and short-run relationship between spot and futures prices of the energy, precious metals, and base metals markets and found that the spot prices of energy and metals assets have long-run relationships with their futures prices.
25 citations
TL;DR: In this article, the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge) was discussed and the results showed that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged values of the basis (futures price minus spot price).
25 citations
TL;DR: In this paper, the impact of renewable energy resources in the Colombian wholesale electricity market is evaluated using a counterfactual scenario based on a structural model of an energy firm's behavior that offers 1000MW in 2018.
25 citations
01 Aug 2014
TL;DR: A direct approach for the implementation of a Conditional Value-at-Risk (CVaR) version of stochastic dual dynamic programming for the LTHTP problem is described and the main results of the validation studies for determining the values of the key parameters of the model are presented.
Abstract: Long-term hydrothermal generation planning (LTHTP) problems have been traditionally conceived as minimum cost-based optimization models. However, such policy may lead to unacceptable amounts of load curtailment in critical inflow scenarios, which are likely to be avoided. This paper describes a direct approach for the implementation of a Conditional Value-at-Risk (CVaR) version of stochastic dual dynamic programming for the LTHTP problem. We also present the main results of the validation studies for determining the values of the key parameters of the model. The proposed methodology has been officially used in Brazil since September 2013 for the following activities: operation planning and dispatch, setting the spot prices and for expansion planning.
25 citations
TL;DR: In this article, the authors cast doubt on the conventional assumption that introducing voluntary forward markets will mitigate the market power of electricity generating companies by encouraging them to contract forward, and provide complementary insights by developing an agent-based simulation model of an actual system.
Abstract: This paper provides new results that cast doubt on the conventional assumption that introducing voluntary forward markets will mitigate the market power of electricity generating companies by encouraging them to contract forward. We provide complementary insights by developing an agent-based simulation model of an actual system. This facilitates understanding the strategy selection of heterogeneous companies through computational learning. We use a detailed model of the Spanish system, where companies trade through a uniform price, pool-based spot market. We model market power in this pool through agents offering to generate with conjectured price responses estimated from supply function equilibrium assumptions. We envisage the introduction of a forward market, with price formation following the conventional financial perspective of expected spot plus a risk premium. We find, in general, that larger companies prefer to exercise market power in the spot market, while smaller companies prefer to contract forward, but strategy selection itself can be quite a delicate, situation specific process.
25 citations