Weber, Christoph; Olsina, F.:

Stochastic Simulation of Spot Power Prices by Spectral Representation - IEEE Transactions on Power Systems.

Vol.24 Aufl. , (2009), 12 Seiten
Buch / Monographie / Fach: Wirtschaftswissenschaften
Abstract—Simulating the random changes of power prices is
a crucial task for operational and trading decisions. Currently,
models stemming from econometrics and financial mathematics
represent the dominating approach to the stochastic simulation
of electricity prices. This work proposes a novel methodology
based on frequency-domain techniques for simulating the random
fluctuations of hourly electricity prices according to probabilistic
and spectral properties observed in historical data. The developed
nonparametric algorithm is based on the well-known spectral representation
method. The method has been extended to accurately
reproduce the remarkable non-Gaussian and local nonstationary
features of power prices. An iterative procedure and a nonlinear
memoryless transformation have been applied to simultaneously
match the observed evolutionary spectral content and the marginal
non-Gaussian probability density function (PDF) of the
random power price fluctuations. The proposed method is general
and can be applied to any power market as it does not require
the postulation of a model structure and the calibration of model
parameters. The method is computationally very efficient as it
takes advantage of fast Fourier transform techniques. Spot prices
quoted on the German EEX have been selected for extensively
testing the quality of the synthetically generated prices. Results
show that price samples simulated with the proposed model
replicate very accurately both the distributional and time-varying
spectral features of the stochastic electricity price dynamics.