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Title: Replicating Electricity Spot Prices Through Inverse Optimization Of Supply Shocks
Authors: Zheng, Haotian (Cosmo)
Advisors: Powell, Warren
Department: Operations Research and Financial Engineering
Class Year: 2013
Abstract: Developing a model that accurately replicates the stochastic process exhibited by electricity prices has been a significant challenge for practitioners and researchers alike. The exceptional volatility of electricity prices makes the buying and selling of electricity a mathematically complex issue. We present a structural model that provides useful insights into the impact of changes in electrical demand and supply on the price of electricity. The model will make use of stochastic supply perturbations to reflect the unexpected changes in generation capacity which have been observed to be linked to large price movements. In doing so, we hope to achieve a better understanding of how and to what extent supply shocks impact and replicate price movements.
Extent: 111 pages
Access Restrictions: Walk-in Access. This thesis can only be viewed on computer terminals at the Mudd Manuscript Library.
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

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