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Electricity trade patterns in a network

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Date
2015
Author
Genç, Talat S.
Abstract
Using high-frequency trade volume and price data in a transmission network we investigate patterns of trade and its impacts in the market price formation process. In particular, we study the Ontario wholesale electricity market and its trade with multiple interconnected markets, including New York, Michigan, and Minnesota, through 13 interconnections. This research has regulatory implications on integration of electricity markets, and possible investments in transmission and production capacity. The main findings are in order: (a) imports are unambiguously related to prices (significant Granger causality), while exports are not; (b) trade mainly occurs due to the market price differentials between the markets and traders can use past price observation to take trade positions before the markets clear; (c) there is a high degree of integration across the markets in the network, where the speed of convergence of cross prices is almost instantaneous.

Source

Progress in Clean Energy, Volume 2: Novel Systems and Applications

Volume

2

Pages

669-692

URI

https://hdl.handle.net/20.500.12469/3861

Collections

  • Araştırma Çıktıları / Scopus [1565]

Keywords

Electricity prices
Electricity trade
Event study
Non-linear Granger causality
Ontario, New York, Michigan, Manitoba, Quebec wholesale electricity markets
Transmission network

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