Bourse draws criticism over timing of options model change; delay in sending key margin file
This paper provides an alternative way to introduce the stylized facts on electricity futures.
Energy25 aims to capture, define and analyse an important period in the development of energy markets, providing an invaluable yardstick for all participants. More broadly, it represents the latest stage in the strategy of defining, researching and…
The impact of end-user market integration and the smart grid on electricity retailers in the Nordic region
With the help of a mixed complementarity problem formulation that describes a simplified market setting with two competing retailers, this paper analyzes the impact of the pending market changes on electricity retailers’ price markup and profit.
Estimating marginal effects of key factors that influence wholesale electricity demand and price distributions in Texas via quantile variable selection methods
Using a large data set from the Electric Reliability Council of Texas, this study uses quantile regressions and attendant variable selection methods to choose the most important factors that influence demand and price distributions; subsequently, the…
Energy firms under increased pressure to assess physical climate risk
A case study on developing dynamic risk-based customer screening
This paper is the prologue for our special issue on Blockchain-enabled Energy Markets.
Community energy retail tariffs in Singapore: opportunities for peer-to-peer and time-of-use versus vertically integrated tariffs
In this paper, an electricity market is simulated using an iterative double-auction algorithm that resolves a social welfare optimization problem based on the Kelly auction mechanism. It is adapted to the case of Singapore.
BP and Engie pick up two awards each, while BNPP takes the coveted derivatives house of the year
This paper interprets the principles of good governance and corporate governance in the context of distributed ledger technologies, namely blockchain, analyzing specif- ically how these principles apply to a blockchain-enabled energy market.
This paper explores determinants of day-ahead market prices for ancillary services and energy in the Electric Reliability Council of Texas (ERCOT).
This paper models natural gas returns explicitly, allowing for market participants to learn over time and to react differently to present changes in economic variables. This learning and adaptation, and the attendant parameter uncertainty, constitutes…
Macquarie is uniquely positioned to offer clients a range of products, expertise and experience across the commodities space. Nick O’Kane discusses the bank’s approach to commodity markets and what he expects next
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Pricing fast-responding electric storage assets in the presence of negative prices and price spikes: a simulation-and-regression approach
This study focuses on the use of batteries for real-time power trading and proposes a simulation-and-regression-based valuation model.
CCP's clearing members incurred 49 margin breaches as of end-September
This paper offers a new way to price and hedge energy swing contacts, decomposing swing contracts into tradeable products, adding time-spread optionality to Keppo’s approach.
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
Traders remain in the dark about the future of the UK’s participation in the Internal Energy Market
Three upcoming pieces of legislation will have significant effects on balancing trades for the UK, says energy expert
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.
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.