| 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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| 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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