- Tytuł:
- Portfolio management of a small RES utility with a structural vector autoregressive model of electricity markets in Germany
- Autorzy:
- Maciejowska, Katarzyna
- Powiązania:
- https://bibliotekanauki.pl/articles/2204084.pdf
- Data publikacji:
- 2022
- Wydawca:
- Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
- Tematy:
-
intraday electricity market
day-ahead electricity market
structural vector autoregressive model
probabilistic forecasting
trading strategy - Opis:
- Electricity producers and traders are exposed to various risks, among which price and volume risk play very important roles. This research considers portfolio-building strategies that enable the proportion of electricity traded in different electricity markets (day-ahead and intraday) to be chosen dynamically. Two types of approaches are considered: a simple strategy, which assumes that these proportions are fixed, and a data-driven strategy, in which the ratios fluctuate. To explore the market information, a structural vector autoregressive model is applied, which allows one to estimate the relationship between the variables of interest and simulate their future distribution. The approach is evaluated using data from the electricity market in Germany. The outcomes indicate that data-driven strategies increase revenue and reduce trading risk. These financial gains may encourage energy traders to apply advanced statistical methods in their portfolio-building process.
- Źródło:
-
Operations Research and Decisions; 2022, 32, 4; 75--90
2081-8858
2391-6060 - Pojawia się w:
- Operations Research and Decisions
- Dostawca treści:
- Biblioteka Nauki
Artykuł