Bunn, D W, Inekwe, J N and MacGeehan, D (2021) Analysis of the fundamental predictability of prices in the British balancing market. IEEE Transactions on Power Systems, 36 (2). pp. 1309-1316. ISSN 0885-8950
Abstract
This research analyses the non-linear and complex effects of drivers of system imbalance prices in the GB electricity market. Unlike day-ahead prices, the balancing settlement prices are comparatively under-researched, yet their importance is growing with greater market risks. The fundamental drivers of these prices are analysed over 2016-2019. The result of a nonlinear modelling approach reveals that system imbalance price exhibits a regime-switching behaviour, driven by weather and demand forecast errors, as well as other system effects. Surprisingly, balancing prices are predictable out of sample and a regime switching specification is more accurate than a linear model for prediction.
More Details
Item Type: | Article |
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Subject Areas: | Management Science and Operations |
Additional Information: |
© 2020 IEEE. Published in: IEEE Transactions on Power Systems (Early Access) https://doi.org/10.1109/TPWRS.2020.3015871
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Date Deposited: | 19 Aug 2020 11:41 |
Date of first compliant deposit: | 17 Aug 2020 |
Subjects: |
Market forecasting Electricity supply industry |
Last Modified: | 18 Sep 2024 00:45 |
URI: | https://lbsresearch.london.edu/id/eprint/1457 |