Modelling price spikes in electricity markets-the impact of load, weather and capacity
Modelling price spikes in electricity markets-the impact of load, weather and capacity
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对电力市场中的价格峰值进行建模 - 负载、天气和容量的影响
DOI：
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
R. Weron
中科院分区：
文献类型：
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作者：
Rangga Handika;Chi Truong;S. Trueck;R. Weron
我们研究了负载、天气和容量限制等解释变量对澳大利亚区域电力市场价格飙升的发生和幅度的影响。我们应用所谓的赫克曼校正，这是一种两阶段估计程序，使我们能够研究所考虑的变量仅对极端价格观察的影响，同时校正由于分析中的非随机抽样而导致的选择偏差。该框架适用于澳大利亚的四个区域电力市场，发现对于这些市场来说，负荷、相对气温和储备裕度是价格上涨发生的重要变量，而电力负荷和相对气温是影响价格上涨幅度的重要变量。还发现 Heckman 选择模型在预测电价飙升幅度方面优于标准 OLS 回归模型。
We examine the impact of explanatory variables such as load, weather and capacity constraints on the occurrence and magnitude of price spikes in regional Australian electricity markets. We apply the so-called Heckman correction, a two-stage estimation procedure that allows us to investigate the impact of the considered variables on extreme price observations only, while correcting for a selection bias due to non-random sampling in the analysis. The framework is applied to four regional electricity markets in Australia and it is found that for these markets, load, relative air temperature and reserve margins are significant variables for the occurrence of price spikes, while electricity loads and relative air temperature are significant variables to impact on the magnitude of a price spike. The Heckman selection model is also found to outperform standard OLS regression models with respect to forecasting the magnitude of electricity price spikes.