The Influence of Temperature on Spike Probability in Day-Ahead Power Prices
2007-06-08
Research Paper
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Published by
Rotterdam School of Management (RSM) Erasmus University, Erasmus Research Institute of Management (ERIM)
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It is well known that day-ahead prices in power markets exhibit spikes. These spikes are sudden increases in the day-ahead price that occur because power production is not flexible enough to respond to demand and/or supply shocks in the short term. This paper focuses on how temperature influences the probability on a spike. The paper shows that the difference between the actual and expected temperature significantly influences the probability on a spike and that the impact of temperature on spike probability depends on the season.
Keywords
Classifications using
Journal of Economic Literature (JEL) Classification System
- G3 : Corporate Finance and Governance
- N7 : Transport, International and Domestic Trade, Energy, Technology, and Other Services
- M : Business Administration and Business Economics; Marketing; Accounting
Automatically Extracted Terms
- spike
- temperature
- price
- probability
- market
- regime
- day-ahead
- model
- power
- day-ahead prices
- paper
- level
- electricity
- day t
- reserve
- demand
- summer
- parameter
- huisman
- spike probability
