Regensburg 2004 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 7: Makro-ökonomische Modelle und Wirtschaftswachtum I

AKSOE 7.2: Vortrag

Mittwoch, 10. März 2004, 14:30–15:00, H8

The German Powermarkets - Timeseries Analysis and Pricing — •Magda Schiegl — Versicherungskammer Bayern, Abt. 8MS02, Maximilianstr. 53, 80530 Muenchen

After the liberalisation of the German power market in 2000 a new market structure has developed which is determined by two major parts: The OTC- forward market and the exchange spot market (day ahead, equilibrium price by bilateral auctions)

There is no analytic formula that links the spot price to the forward price as it is the case in financial markets (No-dqcost-of-carryNo-dq relationship). The reason for this is the inability of storing electricity in an efficient way therefore the no-arbitrage approach of pricing derivative securities cannot be applied in the usual manner. On the spot market energy volumes arising from misfits in hedges between short term electricity consumption on the one hand and long term, highly standardized forward products on the other are dealt. We analyse the structure of spot prices and find it to be a combination of deterministic, time periodic motion and stochastic movements (f.i.weather dependent). The time periodic effects can be observed on different time scales. We use factor model, Fourier method and extreme value theory for our analyses.

As an application of your results we discuss a pricing formula for special products of the OTC non-standard power markets, so called "shaped dealsNo-dq. This is of course the basis of an efficient risk management of power portfolios containing such contracts.