Topic
Spot contract
About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.
Papers published on a yearly basis
Papers
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TL;DR: In this article, the authors investigated the spot electricity price discovery that exists among the five regions of Indian electricity market using hourly spot electricity prices data from 1st January 2014 to 31st December 2015.
Abstract: This paper investigates the spot electricity price discovery that exists among the five regions of Indian electricity market using hourly spot electricity price data from 1st January 2014 to 31st December 2015. Using Augmented Dickey-Fuller (1981) and Narayan and Popp (2010) unit root tests, we find that the spot electricity prices for both peak and off-peak hours across all the regions are stationary at level. Then by applying Granger causality test for a reduced VAR model at level, the results show that there hardly any causality exists between these electricity markets barring few regions. Though we did not find any causality between peak price and off-peak price for all individual region, but we formed two panels by using peak and off-peak price data of all five regions. Our results showed short-run and long-run panel Granger causality between peak price and off-peak price. The results of the study suggests that though India as a nation has all the regions inter-connected with single frequency of Power grid operation since 2008, however, these markets are not highly integrated in comparison to electricity markets of developed nations around the world.
22 citations
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TL;DR: It is found that, with two settlements, the generation firms have incentives to commit forward contracts, which increase social surplus and decrease spot energy prices, and these effects are amplified when the markets become less concentrated.
Abstract: We study Nash equilibrium in two-settlement competitive electricity markets with horizontal market power, flow congestion, demand uncertainties and probabilistic system contingencies. The equilibrium is formulated as a stochastic Equilibrium Problem with Equilibrium Constraints (EPEC) in which each firm solves a stochastic Mathematical Programme with Equilibrium Constraints (MPEC). We assume a no-arbitrage relationship between the forward prices and the spot prices. We find that, with two settlements, the generation firms have incentives to commit forward contracts, which increase social surplus and decrease spot energy prices. Furthermore, these effects are amplified when the markets become less concentrated.
22 citations
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TL;DR: In this article, the authors investigated the potential presence of jumps in two key natural gas prices: the spot price at the Henry Hub in the U.S., and the spot prices for natural gas at the National Balancing Point in the UK.
22 citations
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TL;DR: In this paper, a detailed empirical study of the statistical properties of the Nordic power (Nord Pool) spot market is conducted, and a collection of stylized facts is identified and discussed for the hourly system spot price, based on the entire 12 year history of available Nord Pool data.
Abstract: Dramatic changes to the structure of the power sector have taken place over the
past few decades. The major structural change being the introduction of competitive
markets and power exchanges. In this paper, we conduct a detailed empirical study
of the statistical properties of the Nordic power (Nord Pool) spot market. The aim
of this study is to identify so-called stylized facts of the market. We address the
structure of the market, and in particular, describe in detail the spot price forming
process (equilibrium point trading). A collection of stylized facts is identified and
discussed for the hourly system spot price, based on the entire 12 year history of
available Nord Pool data. In particular we analyze: seasonallity, weather effects,
the human factor, return distributions, volatility, spikes, and mean-reversion (anticorrelation). The empirical study presented in this paper shed new light on the
mechanisms, features and structures of these new commodity markets. The market
features that distinguish them from more classic financial and commodity markets
are pointed out.
22 citations
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TL;DR: In this paper, the authors presented the first empirical attempt to detect the relationship between sales price and listing (or contract) period, and examined the relationship of sales prices and contract expiration days.
Abstract: This article represents the first empirical attempt to detect the relationship between sales price and listing (or contract) period. Specifically, we examine the relationship between sales price and contract expiration days. Our hypothesized positive relationship between sales price and contract expiration days is borne out by the results of this study. These results show that the home seller is able to exact a price premium of 0.04% per contract day that he/she is able to preserve. Alternatively stated, he/she will concede a price discount of 0.04% per day, on average, as the sales contract approaches its expiration. Simple analyses of time on the market (TOM) without controlling for listing period may yield misleading signals.
22 citations