Estimating Spot Price and Smooth Forward Curve in Electricity Markets with Bayesian Penalized Spline

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dc.contributor.advisorWare, Antony
dc.contributor.authorGezahagne, Azamed
dc.date.accessioned2014-05-05T19:49:05Z
dc.date.available2014-06-16T07:00:42Z
dc.date.issued2014-05-05
dc.date.submitted2014en
dc.description.abstractThe first part of this thesis presents a Bayesian penalized spline approach to constructing smooth forward curves in electricity markets. Since electricity should be delivered as a continuous flow, power contracts have settlement periods rather than a fixed delivery time. In addition, electricity forward curves have strong seasonal shape. Our approach provides a method for estimating a continuous forward price curve from market forward prices quoted over a period. The approach is illustrated using observed market data from the Mid-Columbia (Mid-C) and California Oregon Border (COB) pricing hubs. Since Mid-C is a liquid market where forward contracts are quoted every day and COB is an illiquid hub, a two step estimation procedure is developed from Bayesian perspective.First, the Mid-C smooth curve is constructed using Bayesian penalized spline. Next, the COB smooth curve is estimated by adding a spread to the constructed Mid-C smooth curve and incorporating the positive spread between the two hubs as an informative prior. In the second part, we present a mean reverting model for the electricity spot price and we employ a Bayesian penalized spline approach to model the deterministic seasonal function exhibited in the monthly averages. Based on the historical spot price from Alberta power market, we calibrated the model parameters, also by implementing Bayesian estimation techniques.en_US
dc.identifier.citationGezahagne, A. (2014). Estimating Spot Price and Smooth Forward Curve in Electricity Markets with Bayesian Penalized Spline (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/25956en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/25956
dc.identifier.urihttp://hdl.handle.net/11023/1502
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEconomics--Finance
dc.subjectMathematics
dc.subjectStatistics
dc.subjectEnergy
dc.subject.classificationBayesian Penalized Splineen_US
dc.subject.classificationForward Curveen_US
dc.subject.classificationElectricity Marketsen_US
dc.titleEstimating Spot Price and Smooth Forward Curve in Electricity Markets with Bayesian Penalized Spline
dc.typedoctoral thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameDoctor of Philosophy (PhD)
ucalgary.item.requestcopytrue
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