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    When supply meets demand: the case of hourly spot electricity prices

    Boogert, Alexander and Dupont, D. (2007) When supply meets demand: the case of hourly spot electricity prices. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    We use a supply-demand framework to model the hourly day-ahead spot price of electricity based on publicly available information. With the model we can forecast the level and the probability of a spike in the spot price defined as the spot price being above a certain threshold. Several European countries have recently started publishing day-ahead forecasts of the available supply. In this paper we show potential uses of such indicators and test their forecasting power in an hourly spot price model. We conclude that a forecast of the available supply can be part of a useful indicator and discuss ways to further improve the forecasts.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 0707
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 26 Mar 2019 15:42
    Last Modified: 27 Jul 2019 11:01
    URI: http://eprints.bbk.ac.uk/id/eprint/26909

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