A strategy for electricity buyers in futures markets

A strategy for electricity buyers in futures markets

This paper presents an original trading strategy for electricity buyers in futures markets. The strategy applies a medium-term electricity price forecasting model to predict the monthly average spot price which is used to evaluate the Risk Premium for a physical delivery under a monthly electricity...

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Main Authors: Monteiro Claudio, Ramirez-Rosado Ignacio J., Fernandez-Jimenez L. Alfredo
Format: Article
Language:English
Published: EDP Sciences 2020-01-01
Series:E3S Web of Conferences
Online Access:https://www.e3s-conferences.org/articles/e3sconf/pdf/2020/12/e3sconf_peee2020_03007.pdf
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spelling doaj-7725f4efac7a4a74bf2eb1e681cbc9472021-04-02T12:03:44ZengEDP SciencesE3S Web of Conferences2267-12422020-01-011520300710.1051/e3sconf/202015203007e3sconf_peee2020_03007A strategy for electricity buyers in futures marketsMonteiro Claudio0Ramirez-Rosado Ignacio J.1Fernandez-Jimenez L. Alfredo2Department of Electrical Engineering and Computers, University of PortoDepartment of Electrical Engineering, University of ZaragozaDepartment of Electrical Engineering, University of La RiojaThis paper presents an original trading strategy for electricity buyers in futures markets. The strategy applies a medium-term electricity price forecasting model to predict the monthly average spot price which is used to evaluate the Risk Premium for a physical delivery under a monthly electricity futures contract. The proposed trading strategy aims to provide an advantage relatively to the traditional strategy of electricity buyers (used as benchmark), anticipating the good/wrong decision of buying electricity in the futures market instead in the day-ahead market. The mid-term monthly average spot price forecasting model, which supports the trading strategy, uses only information available from futures and spot markets at the decision moment. Both the new trading strategy and the monthly average spot price forecasting model, proposed in this paper, have been successfully tested with historical data of the Iberian Electricity Market (MIBEL), although they could be applied to other electricity markets.https://www.e3s-conferences.org/articles/e3sconf/pdf/2020/12/e3sconf_peee2020_03007.pdf
collection DOAJ
language English
format Article
sources DOAJ
author Monteiro Claudio
Ramirez-Rosado Ignacio J.
Fernandez-Jimenez L. Alfredo
spellingShingle Monteiro Claudio
Ramirez-Rosado Ignacio J.
Fernandez-Jimenez L. Alfredo
A strategy for electricity buyers in futures markets
E3S Web of Conferences
author_facet Monteiro Claudio
Ramirez-Rosado Ignacio J.
Fernandez-Jimenez L. Alfredo
author_sort Monteiro Claudio
title A strategy for electricity buyers in futures markets
title_short A strategy for electricity buyers in futures markets
title_full A strategy for electricity buyers in futures markets
title_fullStr A strategy for electricity buyers in futures markets
title_full_unstemmed A strategy for electricity buyers in futures markets
title_sort strategy for electricity buyers in futures markets
publisher EDP Sciences
series E3S Web of Conferences
issn 2267-1242
publishDate 2020-01-01
description This paper presents an original trading strategy for electricity buyers in futures markets. The strategy applies a medium-term electricity price forecasting model to predict the monthly average spot price which is used to evaluate the Risk Premium for a physical delivery under a monthly electricity futures contract. The proposed trading strategy aims to provide an advantage relatively to the traditional strategy of electricity buyers (used as benchmark), anticipating the good/wrong decision of buying electricity in the futures market instead in the day-ahead market. The mid-term monthly average spot price forecasting model, which supports the trading strategy, uses only information available from futures and spot markets at the decision moment. Both the new trading strategy and the monthly average spot price forecasting model, proposed in this paper, have been successfully tested with historical data of the Iberian Electricity Market (MIBEL), although they could be applied to other electricity markets.
url https://www.e3s-conferences.org/articles/e3sconf/pdf/2020/12/e3sconf_peee2020_03007.pdf
work_keys_str_mv AT monteiroclaudio astrategyforelectricitybuyersinfuturesmarkets
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AT fernandezjimenezlalfredo astrategyforelectricitybuyersinfuturesmarkets
AT monteiroclaudio strategyforelectricitybuyersinfuturesmarkets
AT ramirezrosadoignacioj strategyforelectricitybuyersinfuturesmarkets
AT fernandezjimenezlalfredo strategyforelectricitybuyersinfuturesmarkets
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