Skip to main content
SpringerLink
Log in

Modelling Spot Prices on the Polish Energy Market

  • Conference paper
Intelligent Systems'2014

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 323))

  • 3978 Accesses

Abstract

The aim of this paper is to present a model of the Polish Power Exchange (PPE) energy spot prices. The proposed model is a result of a comprehensive and focused on the Polish market’s characteristics analysis (different markets are weakly interconnected, all of them possess their unique properties). The exchange located in Warsaw is relatively young (14 years of spot prices history) with few liquid contracts traded, which made the goal more challenging.

The suggested dynamics of spot prices is driven by a mean-reverting jump-diffusion stochastic process with mixed-exponentially distributed jumps. The presented approach contains numerous custom-made solutions which have not been introduced in the literature yet. The mentioned jump size distribution combined with a mean-reverting diffusion is novel itself in electricity spot prices modelling.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 169.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 219.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Asmussen, S., Avram, F., Pistorius, M.: Russian and American put options under exponential phase-type Levy models. Stochastic Processes Appl. 109(1), 79–111 (2004)

    Article  MathSciNet  MATH  Google Scholar 

  2. Barndorff-Nielsen, O.E.: Processes of normal inverse Gaussian type. Finance and Stochastics 2, 41–68 (1997)

    Article  MathSciNet  Google Scholar 

  3. Benth, F.E., Kiesel, R., Nazarova, A.: A critical empirical study of three electricity price models. Energy Economics 34(5), 1589–1616 (2012)

    Article  Google Scholar 

  4. Bodea, A., Mare, B.: Valuation of Swing Options in Electricity Commodity Markets, dissertation, University of Heidelberg (2012)

    Google Scholar 

  5. Cai, N., Chen, N., Wan, X.: Pricing double-barrier options under a flexible jump diffusion model. Oper. Res. Lett. 37(3), 163–167 (2009)

    Article  MathSciNet  MATH  Google Scholar 

  6. Cai, N., Kou, S.G.: Option Pricing Under a Mixed-Exponential Jump Diffusion Model. Management Science 57, 2067–2081 (2011)

    Article  Google Scholar 

  7. Cartea, A., Figueroa, M.: Pricing in Electricity Markets: a mean reverting jump diffusion model with seasonality. Applied Mathematical Finance 12(4), 313–335 (2005)

    Article  MATH  Google Scholar 

  8. Geman, H., Roncoroni, A.: Understanding the Fine Structure of Electricity Prices. Journal of Business 79(3) (2006)

    Google Scholar 

  9. Janczura, J., Weron, R.: An empirical comparison of alternate regime-switching models for electricity spot prices. Energy Economics 32(5), 1059–1073 (2010)

    Article  Google Scholar 

  10. Kacprzak, K., Maciejczyk, K., Opalski, K., Paw, M.: łowski Modelling the Polish energy market/. Mathematica Applicanda 13(54), 105–114 (2011)

    Google Scholar 

  11. Kou, S.G.: A jump-diffusion model for option pricing. Management Science 48(8), 1086–1101 (2002)

    Article  MATH  Google Scholar 

  12. Kou, S.G., Wang, H.: Option pricing under a double exponential jump diffusion model. Management Science 50(9), 1178–1192 (2004)

    Article  Google Scholar 

  13. Lindstrom, E., Regland, F.: Modelling extreme dependence between European electricity markets. Energy Economics 34(4), 899–904 (2012)

    Article  Google Scholar 

  14. Lucia, J., Schwartz, E.: Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. Review of Derivatives Research 5(1), 5–50 (2002)

    Article  MATH  Google Scholar 

  15. Madan, D.B., Seneta, E.: The Variance Gamma (V.G.) Model for Share Market Returns. The Journal of Business 63(4), 511–524 (1990)

    Article  Google Scholar 

  16. Merton, R.: Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 3, 125–144 (1976)

    Article  MATH  Google Scholar 

  17. Nowak, P., Romaniuk, M.: A Fuzzy Approach to Option Pricing in a Levy Process Setting. International Journal of Applied Mathematics and Computer Science 23(3), 613–622 (2013)

    Article  MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Institute of Computer Science Polish Academy of Sciences, Jana Kazimierza 5, Warsaw, Poland

    Michał Pawłowski

  2. Systems Research Institute Polish Academy of Sciences, Newelska 6, Warsaw, Poland

    Piotr Nowak

Authors
  1. Michał Pawłowski
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Piotr Nowak
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Michał Pawłowski .

Editor information

Editors and Affiliations

  1. Ford Motor Company, Research & Advanced Engineering, Dearborn, Mississippi, USA

    D. Filev

  2. Industrial Research Institute for Automation and Measurements (PIAP), Warsaw, Poland

    J. Jabłkowski

  3. Polish Academy of Sciences, Systems Research Institute, Warsaw, Poland

    J. Kacprzyk

  4. Polish Academy of Sciences and WIT - Warsaw School of Information Technology, Systems Research Institute, Warsaw, Poland

    M. Krawczak

  5. Bulgarian Academy of Sciences, Institute of Information and Communication, Sofia, Bulgaria

    I. Popchev

  6. Department of Computer Engineering, Częstochowa University of Technology, Częstochowa, Poland

    L. Rutkowski

  7. Bulgarian Academy of Sciences, Institute of Information and Communication Technologies, Sofia, Bulgaria

    V. Sgurev

  8. Department of Computer and Information Technologies, “Prof. Assen Zlatarov" University Faculty of Technical Sciences, Bourgas, Bulgaria

    E. Sotirova

  9. Industrial Research Institute for Automation and Measurements (PIAP), Warsaw, Poland

    P. Szynkarczyk

  10. Polish Academy of Sciences, Systems Research Institute, Warsaw, Poland

    S. Zadrozny

Rights and permissions

Reprints and permissions

Copyright information

© 2015 Springer International Publishing Switzerland

About this paper

Cite this paper

Pawłowski, M., Nowak, P. (2015). Modelling Spot Prices on the Polish Energy Market. In: Filev, D., et al. Intelligent Systems'2014. Advances in Intelligent Systems and Computing, vol 323. Springer, Cham. https://doi.org/10.1007/978-3-319-11310-4_68

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-11310-4_68

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-11309-8

  • Online ISBN: 978-3-319-11310-4

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation