The Electricity Market (Christian White)

• The Energy Market and Ancillary Services Market
• Market Participants - how do they bid?, what do they pay/get paid?
• Description (simply) of the SPD Linear Program - the 'central Scheduling, Pricing and Dispatch engine' which dispatches generation to meet demand and determines Regional Reference Prices (regional spot prices).
• Explanation what determines the Regional Reference Prices
• A simplified overview of the SPD LP objective function and constraints which are used in the SPD LP.

The Problem of Modelling Electricity Prices (Volf Frishling)

Volf will introduce the problem, identify some of the issues and get a general discussion going.

Modelling the Spot Price (Estate Khmaladze)

We present methods of statistical analysis and models for spot prices on electricity in the NSW market. The topics covered include the following:

• dynamics for daily average prices and consequences for averages over longer periods;
• non-stationarity and cycles;
• quick and retrospective detection of changes in market conditions;
• option pricing for various options, estimation of net prices, uniformity in the strike price;
• the use of mixtures of normal distributions in option pricing and associated 'ill-posed problem'
• outliers - excessively high prices, their role and possible prediction

References

• National Electricity Market Management Company (NEMMCO) web site

Please feel free to bring this to the attention of interested colleagues.