We present a parsimonious model for describing the stochastic dynamics of electricity demand in the nsw region of the National Electricity Market. We apply a moment matching approach to calibrate the parameters and perform in-sample and out-of-sample tests to demonstrate the model's capability and weaknesses. We show a solid improvement when the calibration uses the minimum and maximum daily temperatures in the regression. We clearly express the relationship between the drift term and the expected demand, which is a nontrivial connection and has not been made explicit in other publications. References An Introduction to Australia's National Electricity Market, July 2010, Australian Energy Market Operator Limited, Accessed from http://www.aemo.com.au/corporate/0000-0262.pdf March 2011. J. Alcock, J. Goard and T. Vassallo, Calibrating Mean Reverting Jump Diffusion Models: An Application to the nsw Electricity Market, in T. Marchant Ed. Proceedings of the 2007 Mathematics and Statistics in Industry Study Group, MISG, Wollongong, 57–81, 2007. http://www.uow.edu.au/content/groups/public/@web/@inf/@math/documents/doc/uow040974.pdf C. Blanco and D. Soronow, Mean Reverting Processes–-Energy Price Processes Used for Derivatives Pricing and Risk Management, Commodities Now, June, 68–72, 2001. http://www.fea.com/resources/a_mean_reverting_processes.pdf S. R. Brubacher and G. Tunnicliffe Wilson, Interpolating Time Series with Application to the Estimation of Holiday Effects on Electricity Demand, J. Royal Statistical Society Series C, 25:107–116, 1976. http://www.jstor.org/stable/2346678 N. R. Draper, and H. Smith, Applied Regression Analysis, Wiley Series in Probability and Statistics, 1998. R. F. Engle, C. Mustafa, J. Rice, Modelling peak electricity demand, Journal of Forecasting, 11:241–251, 1992. doi:10.1002/for.3980110306 E. Erdogdu, Electricity demand analysis using cointegration and ARIMA modelling: A case study of Turkey, Energy Policy, 35:1129–1146, 2007. doi:10.1016/j.enpol.2006.02.013 F. Li, Singular value decomposition expansion for electrical demand analysis, IMA Journal of Mathematics Applied in Business and Industry, 11:37–48, 2000. doi:10.1093/imaman/11.1.37 H. Geman, Commodities and Commodity Derivatives, Wiley, Chichester, 2005. J. M. Gourd and N. Hansen, Comparison of the performance of a time-dependent short-interest rate model with time-dependent models, Applied Mathematical Finance, 11:147–164, 2004. doi:10.1080/13504860410001686034 S. Mirasgedis, Y. Sarafidis, E. Georgopoulou, D. P. Lalas, M. Moschovits, F. Karagiannis and D. Papakonstantinou, Models for mid-term electricity demand forecasting incorporating weather influences, Energy, 31:208–227, 2006. doi:10.1016/j.energy.2005.02.016 B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 4th ed., Springer-Verlag, New York, NY, 1995. B. R. Szkuta, L. A. Sanabria, T. S. Dillon, Electricity price short-term forecasting using artificial networks, IEEE Trans Power Systems, 14:851–857, 1999. doi:10.1109/59.780895 B. Petschel, Mean Reversion Models for Weather Derivatives, PhD Thesis, University of Queensland, 2005 J. W. Taylor, Short-term electricity demand forecasting using double seasonal exponential smoothing, Journal Operational Research Society, 54:799–805, 2003. doi:10.1057/palgrave.jors.2601589 S. C. Tripathy, Demand Forecasting in a Power System, Energy Convers. Mgmt. 38:1475–1481, 1997. doi:10.1016/S0196-8904(96)00101-X R. Weron and A. Misiorek, Modeling and Forecasting Electricity Loads: A Comparison, in Proceedings of The European Electricity Market EEM-04 Lodz, Poland, 135–142, 2004. C. J. Ziser, Z. Y. Dong, T. Saha, Investigation of Weather Dependency and Load Diversity on Queensland Electricity Demand, in M. Negnevitsky Ed. Proceedings of Australasian Universities Power Engineering Conference 2005, AUPEC, Hobart, 2:457–462, 2005.
@article{6751,
title = {A parsimonious diffusion equation for electricity demand},
journal = {ANZIAM Journal},
volume = {55},
year = {2014},
doi = {10.21914/anziamj.v54i0.6751},
language = {EN},
url = {http://dml.mathdoc.fr/item/6751}
}
Tonkes, Elliot; Broadbridge, Phil. A parsimonious diffusion equation for electricity demand. ANZIAM Journal, Tome 55 (2014) . doi : 10.21914/anziamj.v54i0.6751. http://gdmltest.u-ga.fr/item/6751/