Modeling price behavior in competitive electricity markets and the applications to energy systems management

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During the past decade, many countries, including the provinces of Ontario and Alberta in Canada, have moved from the traditional power systems operation environment and have deregulated their power industry. Unlike the traditional power systems, deregulated electricity markets are featured with uncertain future prices. In these markets, electricity prices are competitively determined, on spot, for each specific interval during a day (e.g., for each 5-minute interval) based on the available supply and market demand. Future electricity market prices, however, are the key factors affecting most of the strategic decisions made by various market entities to optimize their operation. Examples of such decisions are operation scheduling, investment planning, and the setting up of public energy polices. Thus, optimality of such decisions is highly tied to the efficiency of price models employed to forecast future electricity market prices.