Structure and stylized facts of a deregulated power market

Simonsen, Ingve; Weron, Rafal and Mo, Birger (2004): Structure and stylized facts of a deregulated power market. Unpublished.

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.

• Item Type: MPRA Paper
• Institution: Hugo Steinhaus Center
• Language: English
• Keywords: Electricity markets; Spot price; Stylized facts; Deregulation; Econophysics
• Subjects: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions ; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions; Specific Statistics; Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q4 - Energy > Q40 - General; L - Industrial Organization > L9 - Industry Studies: Transportation and Utilities > L94 - Electric Utilities