Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis

Afanasyev, Dmitriy and Fedorova, Elena and Popov, Viktor (2015): Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis. Published in: Energy Economics , Vol. 51, (September 2015): pp. 215-226.

Abstract

In this research we investigate the problems of dynamic relationship between electricity price and demand over different time scales for two largest price zones of the Russian wholesale electricity market. We use multi-scale correlation analysis based on a modified method of time-dependent intrinsic correlation and the complete ensemble empirical mode decomposition with adaptive noise for this purpose. Three hypotheses on the type and strength of correlations in the short-, medium- and long-runs were tested. It is shown that price zones significantly differ in internal price–demand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of them. We can conclude that the answer to the question whether it is necessary to take into account the influence of demand-side on electricity spot prices over different time scales, is significantly dependent on the structure of electricity generation and consumption on the corresponding market.

• Item Type: MPRA Paper
• Language: English
• Keywords: electricity spot price, electricity demand, price-demand correlation, empirical mode decomposition, time-dependent intrinsic correlation, trend estimation
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65 - Miscellaneous Mathematical Tools; L - Industrial Organization > L1 - Market Structure, Firm Strategy, and Market Performance > L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms; L - Industrial Organization > L9 - Industry Studies: Transportation and Utilities > L94 - Electric Utilities

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