A strategy for electricity buyers in futures markets

Monteiro, Claudio ; Ramirez-Rosado, Ignacio J. (Universidad de Zaragoza) ; Fernandez-Jimenez, L. Alfredo

Resumen: 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.

Idioma: Inglés

DOI: 10.1051/e3sconf/202015203007

Año: 2020

Publicado en: E3S web of conferences 152 (2020), 1-5
ISSN: 2555-0403

Factor impacto SCIMAGO: 0.203 - Earth and Planetary Sciences (miscellaneous) - Environmental Science (miscellaneous) - Energy (miscellaneous)

Financiación: info:eu-repo/grantAgreement/ES/MINECO-FEDER/ENE2016-78509-C3-3-P

Tipo y forma: Artículo (Versión definitiva)

Área (Departamento): Área Ingeniería Eléctrica (Dpto. Ingeniería Eléctrica)