Energy markets
Lessons from two commodity defaults
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
Brexit uncertainty for UK and Irish power markets
Traders remain in the dark about the future of the UK’s participation in the Internal Energy Market
EU power balancing faces major changes
Three upcoming pieces of legislation will have significant effects on balancing trades for the UK, says energy expert
Managing adverse temperature conditions through hybrid financial instruments
This paper proposes temperature-based risk management using hybrid financial instruments built on weather derivatives.
Improving the Brazilian electricity market: how to replace the centralized dispatch by decentralized market-based bidding
This paper proposes replacing the Energy Reallocation Mechanism with a bid- based short-term market called the virtual reservoir model.
The Iberian electricity market: analysis of the risk premium in an illiquid market
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
An analysis of intraday market response to crude oil inventory shocks
This paper investigates the intraday market activity of West Texas Intermediate (WTI) crude oil futures around the release of the US Energy Intelligence Agency (EIA) report, looking at how prices respond to inventory shocks.
Consultancy of the year: d-fine
Energy Risk Awards 2018: Quantitative and technological know-how combine to improve performance for clients of German consultancy
Ensuring reliability in a rapidly changing energy landscape
Igor Koprivnikar, member of the management board at Gen-i, discusses what sets the organisation apart as the top power dealer in eastern Europe, the benefits that a global portfolio can bring for clients in regional European markets, and how strong…
The Nordic/Baltic spot electric power system price: univariate nonlinear impulse-response analysis
This paper studies the characteristics of the conditional mean and volatility of daily price movements of the system price for the Nordic/Baltic one-day-ahead spot electric power market.
Takeover likelihood in the oil and gas industry: firm-, macro- or industry-specific causes?
In this study, the authors investigate drivers of merger activity in the oil and gas sector and seek to ascertain how key determinants influence the takeover likelihood of oil and gas companies.
The impact of unconventional monetary policy shocks on the crude oil futures market
This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
How energy players are reaching the limits of hedging
Commodities firms face lasting changes in 2018
Achieving business agility through CTRM systems
Webinar: Openlink
Optimal intraday power trading with a Gaussian additive process
This paper studies the problem of a financial agent wishing to maximize a constant relative risk-aversion expected utility of their terminal wealth while operating in an ID market.
Risk and abnormal returns in markets for congestion revenue rights
This paper develops a novel methodology for estimating the systematic risk of individual financial transmission rights and detecting the presence of abnormal returns among these financial instruments.
Stochastic modeling of photovoltaic power generation and electricity prices
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Finding alpha in uncertain energy markets
Sponsored webinar: FIS
Optimal management of green certificates in the Swedish–Norwegian market
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
Managing energy market volumetric risk
Krzysztof Wolyniec presents a volumetric risk management model for energy markets
Modeling energy spreads with a generalized novel mean-reverting stochastic process
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
Energy Market Analysis: Video Q&A with ABB Enterprise Software’s Kavi Singh
Sponsored video: ABB Enterprise Software
EU power traders rail against national interventions
Capacity and renewables schemes deterring investment, say panel participants