Abstract
Australian Electricity Market has experienced high price volatility since the deregulation in early 1990s. In this exploratory and preliminary analysis of 2010 data from South Australian electricity market we identify and exhibit a number of phenomena which, arguably, contribute to (A) high cost of electricity supply to consumers and (B) volatility in spot prices. These phenomena include: (i) Distinct bidding patterns of some generators occurring in trading intervals corresponding to periods of low, medium and high spot prices, (ii) Low correlation between electricity demand and spot prices on days when spot price spikes are observed, (iii) Failure of the lottery model and associated Markowitz-type optimisation approaches to adequately explain the shifting structure of generators’ bids and (iv) Unexpectedly high contribution to the consumers costs and risks from the relatively small number of trading intervals where spot price spikes were observed.
| Original language | English |
|---|---|
| Pages (from-to) | 357-372 |
| Number of pages | 16 |
| Journal | Annals of Operations Research |
| Volume | 241 |
| Issue number | 1-2 |
| DOIs | |
| Publication status | Published - 1 Jun 2016 |
Keywords
- Australian national electricity market
- Bidding strategies
- Price volatility
- Risk measures