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Equilibrium analysis of forward markets for electricity and reserves.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Equilibrium analysis of forward markets for electricity and reserves./
作者:	Siddiqui, Afzal Saeed.
面頁冊數:	1 online resource (131 pages)
附註:	Source: Dissertation Abstracts International, Volume: 63-09, Section: B, page: 4350.
Contained By:	Dissertation Abstracts International63-09B.
標題:	Operations research. -
電子資源:	click for full text (PQDT)
ISBN:	9780493824475

Equilibrium analysis of forward markets for electricity and reserves.
Siddiqui, Afzal Saeed.

Equilibrium analysis of forward markets for electricity and reserves. - 1 online resource (131 pages)

Source: Dissertation Abstracts International, Volume: 63-09, Section: B, page: 4350.

Thesis (Ph.D.)--University of California, Berkeley, 2002.

Includes bibliographical references

Once thought of as a "natural monopoly" industry, the electric power sector has undergone changes intended to promote competition. While the deregulation of a traditionally government-regulated enterprise has created efficient mechanisms for electricity generation, it has also introduced problems associated with competitive forces. In this dissertation, we examine the issues of price volatility, equilibrium forward pricing, and price-elastic demand.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780493824475Subjects--Topical Terms:

573517
Operations research.
Index Terms--Genre/Form:

554714
Electronic books.

Equilibrium analysis of forward markets for electricity and reserves.
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100 1 $a Siddiqui, Afzal Saeed. $3 1193112
245 1 0 $a Equilibrium analysis of forward markets for electricity and reserves.
264 0 $c 2002
300 $a 1 online resource (131 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 63-09, Section: B, page: 4350.
500 $a Chair: Shmuel S. Oren.
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2002.
504 $a Includes bibliographical references
520 $a Once thought of as a "natural monopoly" industry, the electric power sector has undergone changes intended to promote competition. While the deregulation of a traditionally government-regulated enterprise has created efficient mechanisms for electricity generation, it has also introduced problems associated with competitive forces. In this dissertation, we examine the issues of price volatility, equilibrium forward pricing, and price-elastic demand.
520 $a We begin by investigating the extreme price volatility in the reserves markets of a deregulated electricity industry. In the first year of operation of the California electricity markets, the prices of reserves were more volatile than those for electricity. Furthermore, there was little correlation between electricity and reserves prices although the two products use the same underlying technology. By analyzing price markups in the reserves markets, we find market power by generators to be the probable proximate cause of the high price volatility.
520 $a Motivated by such distortions in markets for reserves, we next develop a protocol for pricing forwards for electricity and reserves. We use a market-equilibrium approach to model a perfectly competitive electricity industry with generators, retailers, and an independent system operator (ISO) that procures enough reserves to maintain system reliability. Since each participant seeks to maximize its expected utility of wealth and all markets clear, we determine the optimal quantities traded and equilibrium prices of both electricity and reserves. Our analysis suggests that electricity reserves are essentially call options that can be used as derivatives to manage risk.
520 $a In order to assess the impact, of price-elastic demand, we allow end-users in our model to perceive real-time variations in the electricity spot price. This price responsiveness both decreases the electricity spot price and increases the risk exposure of retailers. Since the latter effect causes retailers to increase their forward purchases of electricity, while the former results in the opposite outcome, the overall impact of price elasticity on the electricity forward price is ambiguous. Moreover, allowing for early settlement of demand by inducing end-user price responsiveness at the forward stage results in a reduction of the electricity forward price relative to the case with only spot market settlement.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Operations research. $3 573517
650 4 $a Industrial engineering. $3 679492
650 4 $a Finance. $3 559073
650 4 $a Electrical engineering. $3 596380
655 7 $a Electronic books. $2 local $3 554714
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710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of California, Berkeley. $3 1183587
773 0 $t Dissertation Abstracts International $g 63-09B.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3063549 $z click for full text (PQDT)