Multivariate Stochastic Modeling of Spot Power Prices by means of Spectral Methods

OLSINA, F.

Frankfurt am Main, Alemania

Workshop; EWL II Doktorandenseminar 2007; 2007

University Duisburg-Essen

An emerging trend in the liberalized electricity markets is the increasing volume of transactions and price arbitrage among geographically distant locations within an interconnected transmission system. In order to allocate resources in an efficient manner, many locational pricing mechanisms reflecting network constraints have been devised. Constrained transmission paths usually provoke dramatic price differentials among zones of the interconnected system and represent a significant source of spatial price volatility and basis risk. Efficient mathematical models for the stochastic simulation of Locational/Zonal spot prices in interconnected systems accounting for temporal and spatial volatility is an important issue in today electricity markets, which still remains largely unexplored. In this research project, the development of efficient computational algorithms for simulating locational spot prices in large interconnected power systems under consideration of their relevant spatial and temporal stochastic properties is proposed.