Forum for Science, Industry and Business

Sponsored by:     3M 
Search our Site:

 

Dealing with Electricity Prices

22.03.2007
The 1990s witnessed the start of a worldwide deregulation process in the electricity industry. Since then, electricity prices have been based on the market rules of supply and demand.

The non-storability of electricity, absence of substitutes, inelastic supply and patterns in electricity consumption, make that power prices are subject to mean-reversion, seasonality and frequent price jumps. In his thesis Dealing with Electricity Prices, Christian Huurman develops new methods for price modelling and portfolio management. He defends his thesis on Thursday 22 March, 2007 at Erasmus University Rotterdam.

These stylized facts are not as extreme as those observed in any other commodity- or financial market. The reforms have triggered the demand for electricity derivatives, and have led to the introduction of market places where electricity can be traded on spot or forward. These markets enable market players to allocate the price risk that they are exposed to, by selecting portfolios consisting of spot- and derivative contracts in accordance with their risk appetite. Although academic research on valuation of derivatives and portfolio theory is well-established, little is known about its applicability in electricity markets due to the aforementioned unique characteristics. The scientific contribution of the research of Huurman is to extend the empirical methodology by conducting tests for untested hypotheses and propose alternative methodologies for (spot- and derivative) price modelling and portfolio management. He does so by using time-series analysis, extreme value theory, panel data models and portfolio theory. Data is obtained from the most active electricity exchanges in the world. Huurman hereby provides answers to yet unresolved issues on market efficiency, spot price dynamics, forward risk premia dynamics and structuring of the sourcing portfolio.

The Erasmus Research Institute of Management (ERIM) is the research school in the field of management of the Erasmus University Rotterdam. The founding participants of ERIM are RSM Erasmus University and the Erasmus School of Economics. ERIM was founded in 1999 and officially is accredited by the Royal Netherlands Academy of Arts and Science (KNAW). The objective of ERIM is to carry out first rate research in management and to offer an advanced doctoral programme in Research of Management.

Yvette Nelen | alfa
Further information:
http://www.erim.nl
http://www.eur.nl/english/pressroom/releases/2007/march/huurman/

More articles from Business and Finance:

nachricht Microtechnology industry is hiring – positive developments of past years continue
09.04.2018 | IVAM Fachverband für Mikrotechnik

nachricht RWI/ISL-Container Throughput Index with minor decline on a high overall level
20.03.2018 | RWI – Leibniz-Institut für Wirtschaftsforschung

All articles from Business and Finance >>>

The most recent press releases about innovation >>>

Die letzten 5 Focus-News des innovations-reports im Überblick:

Im Focus: LZH showcases laser material processing of tomorrow at the LASYS 2018

At the LASYS 2018, from June 5th to 7th, the Laser Zentrum Hannover e.V. (LZH) will be showcasing processes for the laser material processing of tomorrow in hall 4 at stand 4E75. With blown bomb shells the LZH will present first results of a research project on civil security.

At this year's LASYS, the LZH will exhibit light-based processes such as cutting, welding, ablation and structuring as well as additive manufacturing for...

Im Focus: Self-illuminating pixels for a new display generation

There are videos on the internet that can make one marvel at technology. For example, a smartphone is casually bent around the arm or a thin-film display is rolled in all directions and with almost every diameter. From the user's point of view, this looks fantastic. From a professional point of view, however, the question arises: Is that already possible?

At Display Week 2018, scientists from the Fraunhofer Institute for Applied Polymer Research IAP will be demonstrating today’s technological possibilities and...

Im Focus: Explanation for puzzling quantum oscillations has been found

So-called quantum many-body scars allow quantum systems to stay out of equilibrium much longer, explaining experiment | Study published in Nature Physics

Recently, researchers from Harvard and MIT succeeded in trapping a record 53 atoms and individually controlling their quantum state, realizing what is called a...

Im Focus: Dozens of binaries from Milky Way's globular clusters could be detectable by LISA

Next-generation gravitational wave detector in space will complement LIGO on Earth

The historic first detection of gravitational waves from colliding black holes far outside our galaxy opened a new window to understanding the universe. A...

Im Focus: Entangled atoms shine in unison

A team led by Austrian experimental physicist Rainer Blatt has succeeded in characterizing the quantum entanglement of two spatially separated atoms by observing their light emission. This fundamental demonstration could lead to the development of highly sensitive optical gradiometers for the precise measurement of the gravitational field or the earth's magnetic field.

The age of quantum technology has long been heralded. Decades of research into the quantum world have led to the development of methods that make it possible...

All Focus news of the innovation-report >>>

Anzeige

Anzeige

VideoLinks
Industry & Economy
Event News

Save the date: Forum European Neuroscience – 07-11 July 2018 in Berlin, Germany

02.05.2018 | Event News

Invitation to the upcoming "Current Topics in Bioinformatics: Big Data in Genomics and Medicine"

13.04.2018 | Event News

Unique scope of UV LED technologies and applications presented in Berlin: ICULTA-2018

12.04.2018 | Event News

 
Latest News

Research reveals how order first appears in liquid crystals

23.05.2018 | Life Sciences

Space-like gravity weakens biochemical signals in muscle formation

23.05.2018 | Life Sciences

NIST puts the optical microscope under the microscope to achieve atomic accuracy

23.05.2018 | Physics and Astronomy

VideoLinks
Science & Research
Overview of more VideoLinks >>>