Constructing forward price curves in electricity markets

S.-E. Fleten, Jørgen Kjærgaard Lemming

    Research output: Contribution to journalJournal articleResearchpeer-review

    Abstract

    We present and analyze a method for constructing approximated high-resolution forward price curves in electricity markets. Because a limited number of forward or futures contracts are traded in the market, only a limited picture of the theoretical continuous forward price curve is available to the analyst. Our method combines the information contained in observed bid and ask prices with information from the forecasts generated by bottom-up models. As an example, we use information concerning the shape of the seasonal variation from a bottom-up model to improve the forward price curve quoted on the Nordic power exchange. (C) 2003 Elsevier Science B.V. All rights reserved.
    Original languageEnglish
    JournalEnergy Economics
    Volume25
    Issue number5
    Pages (from-to)409-424
    ISSN0140-9883
    DOIs
    Publication statusPublished - Sep 2003

    Keywords

    • electricity prices
    • forward price curves
    • electricity markets
    • price modelling

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