Hedging Strategy and Electricity Contract Engineering - IFOR
Hedging Strategy and Electricity Contract Engineering - IFOR
Hedging Strategy and Electricity Contract Engineering - IFOR
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Q<br />
38 The electricity market<br />
130<br />
125<br />
120<br />
115<br />
NOK/MWh<br />
110<br />
105<br />
100<br />
95<br />
90<br />
85<br />
80<br />
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24<br />
Fig. 2.15: Average spot prices per hour at Nord Pool from 1997-12-30 to 2000-<br />
05-06.<br />
Q t Q Q<br />
amp<br />
y sinS=T yt U yV?G<br />
Q where denotes the level around which prices fluctuates over the seasons <strong>and</strong><br />
amp<br />
y denotes the amplitude of the yearly fluctuations. T The y is chosen such<br />
that a yearly frequency is achieved. If t is measured in T years y should consequently<br />
be given 2W by . The U phase y is to be chosen such that the maximum<br />
Q of t occurs when prices are peaking, typically in January.<br />
2.9.3. Intra-day variations<br />
The electricity price is not even uniform throughout the day. The intra-day<br />
variations of dem<strong>and</strong> caused by different level of working activities will also<br />
translate into intra-day variations in the electricity prices. The peak <strong>and</strong> offpeak<br />
dem<strong>and</strong> naturally correspond to high respective low prices. Figure 2.15<br />
showing the average spot prices per hour exemplifies this phenomenon. The<br />
spot price seems to have two peaks during one day, with an obvious peak before<br />
noon <strong>and</strong> a less distinctive peak in the late after noon. This is a typical pattern<br />
throughout Europe. Even though these intra-day variations do not follow a
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