201. Bidding structure, market efficiency and persistence in a multi-time tariff setting
- Author
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A. Kursat Aydogan, Doganbey Akgul, and Ezgi Avci-Surucu
- Subjects
Marginal cost ,Economics and Econometrics ,Market efficiency ,Electricity price forecasting ,020209 energy ,Tariff ,02 engineering and technology ,Bidding structure ,Energy policy ,Microeconomics ,Persistence ,Energy policies ,Energy market ,0502 economics and business ,0202 electrical engineering, electronic engineering, information engineering ,Econometrics ,Economics ,Electricity supply ,050207 economics ,health care economics and organizations ,Market rate ,Long memory ,Price dynamics ,business.industry ,05 social sciences ,Time zone ,Commerce ,Tariff structure ,Bidding ,Fractal noise ,Costs ,General Energy ,Fractals ,Power markets ,Electricity ,business ,Restructured electricity prices - Abstract
The purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding strategies, market efficiency and persistence of exogenous shocks. We find that that electricity prices have long term correlation structure for the first and third time zones indicating that market participants bid hyperbolically and not at their marginal costs, market is not weak form efficient at these hours and exogenous shocks to change the mean level of prices will have permanent effect and be effective. On the other hand, for the second time zone we find that price series does not exhibit long term memory. This finding suggests the weak form efficiency of the market in these hours and that market participants bid at their marginal costs. Furthermore this indicates that exogenous shocks will have temporary effect on electricity prices in these hours. These findings constitute an important foundation for policy makers and market participants to develop appropriate electricity price forecasting tools, market monitoring indexes and to conduct ex-ante impact assessment. © 2015 Elsevier B.V.
- Published
- 2016