Naslov
Correlation and regression of wholesale electricity marker daily prices in Europe

Autori
Majstrović, Goran ; Bajs, Davor ; Sutlović, Elis

Izvornik
International review of civil engineering (2036-9913) 3 (2008), 4; 699-708

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
correlation ; regression ; electricity market ; prices

Sažetak
Comparing to classical goods and services electricity is very specific due to inability to be stored, continuous balance between production and consumption, long time needed for system component construction, frequency and voltage limits, power system dynamics etc. Consequently, due to technological specifics electricity market design is basically similar among the countries, but interconnection capacities between power systems (markets) in Europe and non-harmonized legislative frameworks are limiting power exchanges and market integration. The paper objective is to analyze stochastic characteristics of electricity markets in Europe and to calculate the degree of correlation and regression between mean daily electricity prices (base load day ahead prices) on thirteen power marketplaces in Europe. Price values were collected since the market opening till December 31, 2006 which gives total of 32460 price samples. Price volatility ranges and distributions are also given. The analysis showed strong market correlation within two European market zones: Scandinavian and continental (Germany, Holland, France, Austria and Spain), while other two analyzed markets (Italian and Polish) are poorly correlated to all other markets. Electricity price correlations between these two market zones are relatively low, which means that so far Internal Electricity Market in Europe streams to two sub-markets and some residuals.

Izvorni jezik
Engleski

Znanstvena područja
Elektrotehnika

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