Spot contract

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

Cournot Equilibrium in Price-Capped Two-Settlement Electricity Markets

Abstract: We compare two alternative mechanisms for capping prices in two-settlement electricity markets. With sufficient lead time and competitive entry opportunities, forward market prices are implicitly capped by competitive pressure of potential entry that will occur when forward prices rise above a certain level. Another more direct approach is to cap spot prices through regulatory intervention. In this paper we explore the implications of the two alternative mechanisms in a two settlement Cournot equilibrium framework. We formulate the market equilibrium as a stochastic equilibrium problem with equilibrium constraints (EPEC) capturing congestion effects, probabilistic contingencies and market power. As an illustrative test case we use the 53-bus Belgian electricity network with representative generator cost but hypothetical demand and ownership assumptions. When compared to two-settlement systems without price caps we find that either of the price capping alternatives results in reduced forward contracting. Furthermore the reduction in spot prices due to forward contracting is smaller.

Electricity Price Forecasting for Nord Pool Data

Abstract: In many countries deregulation of power markets was undertaken to create a more efficient market. As a result, electricity now can be purchased and sold across areas and countries more easily. For participants of electricity market it is beneficial to forecast future prices in order to optimize risks and profits as well as make future plans. A number of various methods is applied for solving this problem. However, the accuracy of forecasts is not sufficient as market spot price of electricity has features such as seasonality, spikes or high volatility. Furthermore, diverse approaches work differently with distinct countries (markets). In this paper we discuss our experiments with electricity spot price data of Lithuania's price zone in Nord Pool power market. Day-ahead forecasts are made using Seasonal Naive, Exponential smoothing, Artificial Neural Networks.

'Preface to' Stochastic Modeling of Electricity and Related Markets

Abstract: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives. This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein-Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Method and system for trading a foreign exchange swap certificate

Abstract: A novel method, system and computer readable medium are provided which effectively executes underlying transactions of an inventive financial instrument having a foreign exchange swap component and an investment component. The swap component includes a spot transaction and a forward transaction while the short term investment component includes investing the money resulting from the spot transaction in an investment, such as in a money market or bond investment. Three different financial instruments/certificates are provided to offer different returns based on different expectations of interest rates and, in particular, of changes in the differential between the interest rates of two selected currencies.

The Price of Oil – Will it Start Rising Again?

Abstract: Following a sharp drop amidst the global economic crisis and a subsequent recovery, the spot price of crude oil has been broadly stable for the past couple of years This paper discusses the factors that drive oil demand and supply and, hence, the price of the resource A set of oil demand equations is estimated for OECD and non-OECD countries, which is then combined with assumptions about the behaviour of supply to analyse the impact of a range of macroeconomic and policy scenarios on the future oil price path The scenario analysis suggests that a return of world growth to slightly below pre-crisis rates would be consistent with an increase in the price of Brent crude to far above early-2012 levels by 2020 This increase would be mostly driven by higher demand from non-OECD economies – in particular China and India The expected rise in the oil price is unlikely to be smooth Sudden changes in the supply or demand of oil can have very large effects on the price in the short run