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 investigate the predictive capacity of neural networks for electricity spot prices using Australian National Electricity Market data, and explore extreme price spikes through extreme value modeling, fitting a Generalized Pareto Distribution to price peaks over an estimated threshold.
21 citations
TL;DR: In this article, a stochastic model for electricity spot prices, derived a pricing formula for electricity forward contracts, and specify risk premia inherent in such contracts, were constructed.
Abstract: In this article, we construct a stochastic model for electricity spot prices, derive a pricing formula for electricity forward contracts, and specify risk premia inherent in such contracts. Our spot price model accounts for seasonality, mean-reversion, and time-varying jump intensity. Empirically, the model with a sinusoidal seasonal function, different mean-reversion rates for the diffusion and jumps, and constant volatility is most appropriate among six different models for the United States market. The modeling approach leads us to investigate the stochastic risk premium due to both the diffusion and the jump components explicitly. The empirical results reveal that both risk premia are time-varying and state-dependent. The diffusion risk premium is negatively correlated with the diffusion level and fluctuates about zero, and the jump risk premium is negatively correlated with the jump level and always negative. In magnitude, the jump risk premium is much larger than the diffusion risk premium. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:776–793, 2015
21 citations
Patent•
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TL;DR: A spot market clearing house for clearing spot market trades as mentioned in this paper is a clearing house that receives data indicative of initial settlement and revised settlement amounts for a single spot market or in multiple spot markets.
Abstract: A spot market clearing house for clearing spot market trades. The spot market clearing house may receive data indicative of settlement for the spot market trades of a participant in a single spot market or in multiple spot markets. The data may include data indicative of initial settlement and data indicative of revised settlement amounts. The spot market clearing house may further determine performance bonds amounts based on daily exposures of the participant in the single spot market or multiple spot markets. The spot market clearing house may manage fund transfers to clear trades of the participant and to satisfy performance bond amounts.
21 citations
Patent•
27 Mar 2007
TL;DR: In this article, a standardized contract is traded over-the-counter or through an exchange and cleared by a clearinghouse that guarantees payment to the buyer of any amount owed to the seller from the seller as a result of the contract and that guaranteed payment to a seller from a buyer from the buyer.
Abstract: In accordance with the principles of the present invention, a standardized contract is traded. The contract obligates a buyer and a seller to settle the contract based on a price determined for an effective date. The contract is traded over-the-counter or through an exchange and cleared by a clearinghouse that guarantees payment to the buyer of any amount owed to the buyer from the seller as a result of the contract and that guarantees payment to the seller of any amount owed to the seller from the buyer as a result of the contract. An over-the-counter or exchange traded instrument is utilized to determine the rate that is used to determine the price of the contract.
20 citations
TL;DR: In this article, the authors examined the pass-through of regional tax changes and spot price variations to regional gasoline prices in Spain and analyzed the impact of all major cost and demand shifters on regional gasoline price formation.
20 citations