Risk measurement in wholesale electricity markets

2019 Fiscal Year Final Research Report

• Project/Area Number: 16K03732
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Saitama University
• Principal Investigator: Marumo Kohei 埼玉大学, 人文社会科学研究科, 准教授 (90596959)
• Project Period (FY): 2016-04-01 – 2020-03-31
• Keywords: エルミート多項式系

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.

Free Research Field

統計学の応用，リスク計測

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．