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A Hawkes Model Approach to Modeling Price Spikes in the Japanese Electricity Market
http://hdl.handle.net/10061/0002000194
http://hdl.handle.net/10061/00020001946c64fcbf-3ee9-417c-8936-64a876c47c93
| アイテムタイプ | 学術雑誌論文 / Journal Article(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2024-04-04 | |||||||
| タイトル | ||||||||
| タイトル | A Hawkes Model Approach to Modeling Price Spikes in the Japanese Electricity Market | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | electricity markets | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | electricity price spikes | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Japanese Electric Power Exchange (JEPX) | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Hawkes process | |||||||
| 資源タイプ | ||||||||
| 資源タイプ | journal article | |||||||
| アクセス権 | ||||||||
| アクセス権 | open access | |||||||
| 著者 |
Adline, Bikeri
× Adline, Bikeri
× 池田, 和司 |
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| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | The Japan Electric Power Exchange (JEPX) provides a platform for the trading of electric energy in a manner similar to more traditional financial markets. As the number of market agents increase, there is an increasing need for effective price-forecasting models. Electricity price data are observed to exhibit periods of relatively stable, i.e., low-magnitude, low-variance prices interspersed with periods of higher prices accompanied by larger uncertainty. The price data time series therefore exhibits a temporal non-stationarity characteristic that is difficult to capture with typical time series modeling frameworks. In this paper, we implement models for the occurrence of price spike events where spikes are defined as observing prices above a predefined threshold set here at 25 JPY/kWh. This value corresponds to about the 90th percentile of observed prices during peak trading periods. The price spikes time series is observed to be rare events that occur in clusters. We therefore propose to model the data as a Hawkes process whereby the occurrence of a spike event increases the probability of observing more spikes in the period immediately following a price spike event. We test two variations of the classical Hawkes model: the first variation models the change in the magnitude of the underlying intensity as a function of the magnitude of the price spike while the second variation models the change in the decay rate of the underlying intensity as a function of the magnitude of the price spike. An analysis of the performance of the models based on the mean absolute error (MAE) of the spike occurrence probability, a weighted accuracy index, and the Matthews correlation coefficient (MCC) metrics shows the effectiveness of the variable magnitude variation of the Hawkes model in generating short-term forecasts of the occurrence of price spike events. The modified Hawkes model especially outperforms other candidate models as the length of the forecasting horizon increases. | |||||||
| 書誌情報 |
en : Energies 巻 16, 号 4, 発行日 2023-02-04 |
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| 出版者 | ||||||||
| 出版者 | MDPI | |||||||
| ISSN | ||||||||
| 収録物識別子タイプ | EISSN | |||||||
| 収録物識別子 | 1996-1073 | |||||||
| 出版者版DOI | ||||||||
| 関連タイプ | isReplacedBy | |||||||
| 識別子タイプ | DOI | |||||||
| 関連識別子 | https://doi.org/10.3390/en16041570 | |||||||
| 出版者版URI | ||||||||
| 関連タイプ | isReplacedBy | |||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://www.mdpi.com/1996-1073/16/4/1570 | |||||||
| 権利 | ||||||||
| 権利情報Resource | https://creativecommons.org/licenses/by/4.0/ | |||||||
| 権利情報 | $00A9 2023 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | NA | |||||||
