Analysis of Financial Transmission Rights Obligations and Hourly Congestion Prices in PJM Markets

dc.contributor.advisorWare, Antony Frank
dc.contributor.authorArablou, Zahra
dc.contributor.committeememberSwishchuk, Anatoliy V.
dc.contributor.committeememberWu, Jingjing
dc.date2019-11
dc.date.accessioned2019-09-19T21:06:21Z
dc.date.available2019-09-19T21:06:21Z
dc.date.issued2019-09-17
dc.description.abstractIn this research we analyze patterns of FTR obligation contracts using hourly data from January 1st, 2015 through December 31st, 2018 between PJM Western and AEP Dayton hubs and concluded that there are positive net profits in FTR obligation contracts if someone were to buy and hold the contracts until they were actualized. We applied Schwartz’s one-factor log-model to changes in congestion prices, but our tests showed that residuals of the model are not normally distributed. We then applied OU process to outright congestion prices and used recursive approach proposed by Clewlow and Strickland (2000) to remove jumps from OU residuals. We concluded that non-jump and jump data sets are not normally distributed in both PJM Western and AEP Dayton hubs. Given congestion prices showed fat-tails and non-normal distributions for both jumps and non-jumps data points, we applied Johnson’s Unbounded Distribution to congestion prices and calibrated its parameters for both congestion prices. We defined a variable to filter out hourly data depending on how much of transmission interface were used in different hours and we recalibrated sets of parameters for those cases.en_US
dc.identifier.citationArablou, Z. (2019). Analysis of Financial Transmission Rights Obligations and Hourly Congestion Prices in PJM Markets (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/37083
dc.identifier.urihttp://hdl.handle.net/1880/111018
dc.language.isoengen_US
dc.publisher.facultyScienceen_US
dc.publisher.institutionUniversity of Calgaryen
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.en_US
dc.subjectFinancial Transmission Rights, PJM market, Power market, Mathematicsen_US
dc.subject.classificationEducation--Mathematicsen_US
dc.titleAnalysis of Financial Transmission Rights Obligations and Hourly Congestion Prices in PJM Marketsen_US
dc.typemaster thesisen_US
thesis.degree.disciplineMathematics & Statisticsen_US
thesis.degree.grantorUniversity of Calgaryen_US
thesis.degree.nameMaster of Science (MSc)en_US
ucalgary.item.requestcopytrueen_US
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