Market Power in Electricity Markets
Date
2019-12
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Electricity markets exhibit unique price dynamics not found elsewhere in other commodity markets. Characteristics such as limited storability, highly inelastic demand, and physical laws requiring continuous production to match consumption cause erratic price dynamics and short periods of extremely high prices known as spikes. We create a diffusion model under the assumption that a participating firm controls sufficient production capacity can significantly increase the spot price by bidding according to a strategy defined by a decision curve. We then extend Barlow's diffusion model to incorporate the decision curve and show results.
Description
Keywords
Market Power, Electricity Markets, Stochastic Differential Equations
Citation
Chan, E. (2019). Market Power in Electricity Markets (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.