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, an agent-based modeling and a regression approach are applied to investigate the effect of price drivers and to verify model results by comparing both approaches, showing that the impact of carbon and coal prices on German electricity prices has been twice as high as the renewable expansion between 2011 and 2015.
73 citations
TL;DR: In this article, the authors extend the literature on commodity pricing by incorporating a link between the spread of forward prices and spot price volatility suggested by the theory of storage, and they estimate the model on daily copper spot and forward prices using the Kalman filter methodology.
Abstract: We extend the literature on commodity pricing by incorporating a link between the spread of forward prices and spot price volatility suggested by the theory of storage. Our model has closed form solutions that are generalizations of the two-factor model of Gibson–Schwartz (1990). We estimate the model on daily copper spot and forward prices using the Kalman filter methodology. Our findings confirm the link between the forward spread and volatility, but also show that the Gibson–Schwartz (1990) model prices forward contracts almost as well. In the pricing of option contracts, however, there are significant differences between the models.
73 citations
TL;DR: In this article, the authors analyse the day-ahead spot price at the Dutch gas hub over the period 2011-2014 and conclude that the gas prices are predominantly determined by gas-market fundamentals.
73 citations
TL;DR: In this paper, the authors proposed a new statistical perspective on modeling and forecasting of electricity spot prices that accounts for the merit order model, which suggests a continuum of mean levels with a functional dependence on electricity demand.
Abstract: Classical time series models have serious difficulties in modeling and
forecasting the enormous fluctuations of electricity spot prices. Markov
regime switch models belong to the most often used models in the electric-
ity literature. These models try to capture the fluctuations of electricity spot
prices by using different regimes, each with its own mean and covariance
structure. Usually one regime is dedicated to moderate prices and another is
dedicated to high prices. However, these models show poor performance and
there is no theoretical justification for this kind of classification. The merit or-
der model, the most important micro-economic pricing model for electricity
spot prices, however, suggests a continuum of mean levels with a functional
dependence on electricity demand.
We propose a new statistical perspective on modeling and forecasting
electricity spot prices that accounts for the merit order model. In a first step,
the functional relation between electricity spot prices and electricity demand
is modeled by daily price-demand functions. In a second step, we parameter-
ize the series of daily price-demand functions using a functional factor model.
The power of this new perspective is demonstrated by a forecast study that
compares our functional factor model with two established classical time se-
ries models as well as two alternative functional data models.
73 citations
TL;DR: A comprehensive numerical study reveals that the approaches based on one-period and two-period solutions have considerable drawbacks, while the advanced heuristic performs very well compared to the optimal solution.
73 citations