Dynamic artificial neural network for electricity market prices forecast

This paper presents an artificial neural network applied to the forecasting of electricity market prices, with the special feature of being dynamic. The dynamism is verified at two different levels. The first level is characterized as a re-training of the network in every iteration, so that the artificial neural network can able to consider the most recent data at all times, and constantly adapt itself to the most recent happenings. The second level considers the adaptation of the neural network’s execution time depending on the circumstances of its use. The execution time adaptation is performed through the automatic adjustment of the amount of data considered for training the network. This is an advantageous and indispensable feature for this neural network’s integration in ALBidS (Adaptive Learning strategic Bidding System), a multi-agent system that has the purpose of providing decision support to the market negotiating players of MASCEM (Multi-Agent Simulator of Competitive Electricity Markets).

Zonal prices analysis supported by a data mining based methodology

A methodology based on data mining techniques to support the analysis of zonal prices in real transmission networks is proposed in this paper. The mentioned methodology uses clustering algorithms to group the buses in typical classes that include a set of buses with similar LMP values. Two different clustering algorithms have been used to determine the LMP clusters: the two-step and K-means algorithms. In order to evaluate the quality of the partition as well as the best performance algorithm adequacy measurements indices are used. The paper includes a case study using a Locational Marginal Prices (LMP) data base from the California ISO (CAISO) in order to identify zonal prices.

Electricity markets: transmission prices methods

In the context of electricity markets, transmission pricing is an important tool to achieve an efficient operation of the electricity system. The electricity market is influenced by several factors; however the transmission network management is one of the most important aspects, because the network is a natural monopoly. The transmission tariffs can help to regulate the market, for this reason transmission tariffs must follow strict criteria. This paper presents the following methods to tariff the use of transmission networks by electricity market players: Post-Stamp Method; MW-Mile Method Distribution Factors Methods; Tracing Methodology; Bialek’s Tracing Method and Locational Marginal Price. A nine bus transmission network is used to illustrate the application of the tariff methods.

Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis

This paper addresses the impact of the CO2 opportunity cost on the wholesale electricity price in the context of the Iberian electricity market (MIBEL), namely on the Portuguese system, for the period corresponding to the Phase II of the European Union Emission Trading Scheme (EU ETS). In the econometric analysis a vector error correction model (VECM) is specified to estimate both long–run equilibrium relations and short–run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The model is estimated using daily spot market prices and the four commodities prices are jointly modelled as endogenous variables. Moreover, a set of exogenous variables is incorporated in order to account for the electricity demand conditions (temperature) and the electricity generation mix (quantity of electricity traded according the technology used). The outcomes for the Portuguese electricity system suggest that the dynamic pass–through of carbon prices into electricity prices is strongly significant and a long–run elasticity was estimated (equilibrium relation) that is aligned with studies that have been conducted for other markets.

Multidimensional scaling analysis of electricity market prices

This paper studies the impact of energy and stock markets upon electricity markets using Multidimensional Scaling (MDS). Historical values from major energy, stock and electricity markets are adopted. To analyze the data several graphs produced by MDS are presented and discussed. This method is useful to have a deeper insight into the behavior and the correlation of the markets. The results may also guide the construction models, helping electricity markets agents hedging against Market Clearing Price (MCP) volatility and, simultaneously, to achieve better financial results.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Short-term electricity prices forecasting in a competetive market by a hybrid Pso-Anfis approach

In this paper, a novel hybrid approach is proposed for electricity prices forecasting in a competitive market, considering a time horizon of 1 week. The proposed approach is based on the combination of particle swarm optimization and adaptive-network based fuzzy inference system. Results from a case study based on the electricity market of mainland Spain are presented. A thorough comparison is carried out, taking into account the results of previous publications, to demonstrate its effectiveness regarding forecasting accuracy and computation time. Finally, conclusions are duly drawn.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Demand Response Design and Use Based on Network Locational Marginal Prices

Power systems have been experiencing huge changes mainly due to the substantial increase of distributed generation (DG) and the operation in competitive environments. Virtual Power Players (VPP) can aggregate several players, namely a diversity of energy resources, including distributed generation (DG) based on several technologies, electric storage systems (ESS) and demand response (DR). Energy resources management gains an increasing relevance in this competitive context. This makes the DR use more interesting and flexible, giving place to a wide range of new opportunities. This paper proposes a methodology to support VPPs in the DR programs’ management, considering all the existing energy resources (generation and storage units) and the distribution network. The proposed method is based on locational marginal prices (LMP) values. The evaluation of the impact of using DR specific programs in the LMP values supports the manager decision concerning the DR use. The proposed method has been computationally implemented and its application is illustrated in this paper using a 33-bus network with intensive use of DG.

Analysis of Electricity Market Prices Using Multidimensional Scaling

This paper studies the impact of the energy upon electricity markets using Multidimensional Scaling (MDS). Data from major energy and electricity markets is considered. Several maps produced by MDS are presented and discussed revealing that this method is useful for understanding the correlation between them. Furthermore, the results help electricity markets agents hedging against Market Clearing Price (MCP) volatility.

Differences in the prices of physical ETF’s and synthetic ETF’s

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Access to essential medicines in Timor-leste: availability, prices and affordability

O acesso a medicamentos essenciais a preços acessíveis de forma sustentável é um dos indicadores do cumprimento dos Objectivos de Desenvolvimento do Milénio e pode ser considerado como parte do direito universal à saúde. Tal como acontece com outros bens essenciais, o acesso aos medicamentos depende de múltiplos factores, como a sua disponibilidade, preços e capacidade de aquisição por parte da população. Na última década, foram efectuados mais de 50 estudos para avaliar esses factores, em países de baixos e médios rendimentos, utilizando uma metodologia desenvolvida pela Organização Mundial de Saúde e a organização Health Action International, numa tentativa de compreender as possíveis causas para o baixo acesso aos medicamentos. Os resultados destes estudos revelam uma baixa disponibilidade de medicamentos essenciais de um modo geral, sobretudo no sector público, e preços elevados, sobretudo no sector privado. O objectivo deste estudo foi descrever a disponibilidade, os preços e a capacidade de aquisição de medicamentos essenciais em Timor-Leste, com recurso à metodologia da OMS/HAI. Foram recolhidos dados sobre a disponibilidade e os preços de uma lista de medicamentos em hospitais, centros de saúde e farmácias comunitárias. Embora os resultados pareçam apontar para uma disponibilidade global razoável de medicamentos genéricos no sector público (59,2%), algumas substâncias activas e classes terapêuticas encontravam-se sistematicamente esgotadas em vários pontos do país. Nas unidades situadas em locais mais remotos, a disponibilidade de medicamentos chegava a descer para valores na ordem dos 47,5%. Verificou-se que a disponibilidade de medicamentos nas farmácias privadas era ainda mais baixa do que nos serviços públicos (38,0%). Os medicamentos são dispensados gratuitamente nos hospitais e centros de saúde, mas nas farmácias privadas chegam a ultrapassar 40 vezes os seus preços de referência internacionais, mesmo como genéricos. Consequentemente, estima-se por exemplo, que um funcionário público que utilize diclofenac para o tratamento crónico da artrose, tenha de trabalhar durante mais de 2 dias para pagar o seu tratamento mensal com o medicamento genérico, ou 12,5 dias, se for prescrito o medicamento de marca. Durante o estudo, foram detectados vários outros problemas que podem comprometer a qualidade e segurança dos medicamentos. Apesar das limitações inerentes a uma investigação deste tipo, foi possível concluir através do presente estudo que, ao contrário da tendência geral observada em países similares, o sector público de cuidados de saúde em Timor-Leste parece ter um melhor desempenho do que o privado. No entanto, as condições limitadas da maioria das unidades de saúde públicas pode forçar alguns doentes a recorrer ao sector privado, onde os preços pagos pelos tratamentos são inaceitavelmente elevados. A ausência de regulamentação do sector farmacêutico (e fiscalização insuficiente da existente) parece estar a contribuir para a estagnação do sector privado e a encorajar indirectamente a falta de transparência nas práticas farmacêuticas. Dada a escassez de estudos sobre este assunto em Timor-Leste, espera-se que o presente trabalho forneça evidências importantes que possam ser utilizadas em estudos subsequentes e como base a uma intervenção por parte das autoridades com o objectivo de melhorar a disponibilidade de medicamentos no sistema público e de encorajar o desenvolvimento do sector privado como alternativa viável, segura e de custo aceitável.

Carbon prices. Dynamic analysis of European and Californian markets

Dissertação para obtenção do Grau de Doutor em Alterações Climáticas e Políticas de Desenvolvimento Sustentável