Risk measurement in wholesale electricity markets
| Project/Area Number |
16K03732
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Saitama University |
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Principal Investigator |
Marumo Kohei 埼玉大学, 人文社会科学研究科, 准教授 (90596959)
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2017: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | エルミート多項式系 / リスク計測 / 同時分布関数の近似 / 条件付分布関数の近似 / 非正規分布 / 同時分布関数 / 条件付分布関数 / Hermite Expansion / Multivariate Analysis / 計量分析 / リスク管理 / 電力卸売市場 |
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| Outline of Final Research Achievements |
Spikes in the wholesale electricity price time series are studied by many including Christensen, Hurn and Lindsay (2011). They investigate how some explanatory variables such as demand in the market can explain the occurrence and intensity of the price spikes. This project focuses on approximating the price distribution conditioned on the demand. Since the demand series has strong periodicity and can relatively easily be predicted, conditional price distribution can be useful for managing the risk in wholesale electricity markets.
I investigated the application of the non-parametric method called Hermite expansion for approximating the distributions.
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| Academic Significance and Societal Importance of the Research Achievements |
学術的意義としては，エルミート展開の漸近的な性質がいくつか明らかになったことが挙げられる．すなわち，エルミート展開が一様収束することが示されてことは応用数学の分野においての意義といえる．
社会的意義としては，その市場リスク計測への応用を展望したことが挙げられる．特に，Marumo(2017)においては投資信託のリスク管理への応用が述べられており，実務におけるリスク計測・管理に対して示唆を与えるものと考える．
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Report
(5 results)
Research Products
(4 results)
