Bidding structure, market efficiency and persistence in a multi-time tariff setting

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dc.citation.epage87en_US
dc.citation.spage77en_US
dc.citation.volumeNumber54en_US
dc.contributor.authorAvci-Surucu, E.en_US
dc.contributor.authorAydogan, A. K.en_US
dc.contributor.authorAkgul, D.en_US
dc.date.accessioned2018-04-12T10:55:11Z
dc.date.available2018-04-12T10:55:11Z
dc.date.issued2016en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractThe purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding strategies, market efficiency and persistence of exogenous shocks. We find that that electricity prices have long term correlation structure for the first and third time zones indicating that market participants bid hyperbolically and not at their marginal costs, market is not weak form efficient at these hours and exogenous shocks to change the mean level of prices will have permanent effect and be effective. On the other hand, for the second time zone we find that price series does not exhibit long term memory. This finding suggests the weak form efficiency of the market in these hours and that market participants bid at their marginal costs. Furthermore this indicates that exogenous shocks will have temporary effect on electricity prices in these hours. These findings constitute an important foundation for policy makers and market participants to develop appropriate electricity price forecasting tools, market monitoring indexes and to conduct ex-ante impact assessment.en_US
dc.identifier.doi10.1016/j.eneco.2015.10.017en_US
dc.identifier.issn0140-9883
dc.identifier.urihttp://hdl.handle.net/11693/36841
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.eneco.2015.10.017en_US
dc.source.titleEnergy Economicsen_US
dc.subjectBidding structureen_US
dc.subjectEnergy policiesen_US
dc.subjectFractal noiseen_US
dc.subjectLong memoryen_US
dc.subjectMarket efficiencyen_US
dc.subjectPersistenceen_US
dc.subjectRestructured electricity pricesen_US
dc.subjectCommerceen_US
dc.subjectCostsen_US
dc.subjectEnergy policyen_US
dc.subjectFractalsen_US
dc.subjectFractal noiseen_US
dc.subjectLong memoryen_US
dc.subjectMarket efficiencyen_US
dc.subjectPersistenceen_US
dc.subjectRestructured electricity pricesen_US
dc.subjectPower marketsen_US
dc.subjectElectricity supplyen_US
dc.subjectEnergy marketen_US
dc.subjectEnergy policyen_US
dc.subjectPersistenceen_US
dc.subjectPrice dynamicsen_US
dc.subjectTariff structureen_US
dc.titleBidding structure, market efficiency and persistence in a multi-time tariff settingen_US
dc.typeArticleen_US
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