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The significance of calendar effects in the electricity market.
- Source :
-
Applied Energy . Feb2019, Vol. 235, p487-494. 8p. - Publication Year :
- 2019
-
Abstract
- Highlights • A batch-test method to all potential calendar effects in different dimensions of time frequencies. • A big data test in an electricity market with 12,000 transmission lines and hourly updated prices. • Calendar effects exist in hourly, daily, monthly and seasonal dimensions in electricity markets. • Electricity markets have commonalities with financial markets on price movement. • Calendar effects have strong explanatory power to the electricity market. Abstract How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies. We implement our test method to the largest electricity trading platform in the United States. Using the high-frequency intraday trading data, we assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-the-year, Day-of-the-month and season). Our results confirm that calendar effects exist in every dimension of time frequency, and specify those calendar effects with statistical significance. Moreover, this study discovers commonalities between electricity markets and financial markets, which makes it feasible to apply the management of financial markets to electricity markets. Besides, the detected calendar effects depict periodic patterns of market inequilibrium and facilitate the implementation of corresponding technical solutions in electricity markets. [ABSTRACT FROM AUTHOR]
- Subjects :
- *ELECTRICITY
*ELECTRIC lines
*FINANCIAL markets
*MARKET prices
*RESOURCE allocation
Subjects
Details
- Language :
- English
- ISSN :
- 03062619
- Volume :
- 235
- Database :
- Academic Search Index
- Journal :
- Applied Energy
- Publication Type :
- Academic Journal
- Accession number :
- 134356207
- Full Text :
- https://doi.org/10.1016/j.apenergy.2018.10.124