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Title: Correlations and clustering in wholesale electricity markets

Abstract

We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the locational structure of the grid. We study various clustering methods and introduce a type of correlation function based on event synchronization for spiky time series, and another based on string correlations of location names provided by the markets. As a result, this allows us to reconstruct aspects of the locational structure of the grid.

Authors:
 [1]; ORCiD logo [2];  [3]
  1. Chinese Academy of Sciences (CAS), Beijing (China)
  2. Los Alamos National Lab. (LANL), Los Alamos, NM (United States)
  3. Invenia Labs, Cambridge (United Kingdom)
Publication Date:
Research Org.:
Los Alamos National Lab. (LANL), Los Alamos, NM (United States)
Sponsoring Org.:
USDOE National Nuclear Security Administration (NNSA)
OSTI Identifier:
1411359
Report Number(s):
LA-UR-17-26648
Journal ID: ISSN 0378-4371; TRN: US1800224
Grant/Contract Number:  
AC52-06NA25396
Resource Type:
Journal Article: Accepted Manuscript
Journal Name:
Physica. A
Additional Journal Information:
Journal Volume: 492; Journal ID: ISSN 0378-4371
Publisher:
Elsevier
Country of Publication:
United States
Language:
English
Subject:
29 ENERGY PLANNING, POLICY, AND ECONOMY; Correlation measures; Clustering; Electricity prices

Citation Formats

Cui, Tianyu, Caravelli, Francesco, and Ududec, Cozmin. Correlations and clustering in wholesale electricity markets. United States: N. p., 2017. Web. doi:10.1016/j.physa.2017.11.077.
Cui, Tianyu, Caravelli, Francesco, & Ududec, Cozmin. Correlations and clustering in wholesale electricity markets. United States. doi:10.1016/j.physa.2017.11.077.
Cui, Tianyu, Caravelli, Francesco, and Ududec, Cozmin. Fri . "Correlations and clustering in wholesale electricity markets". United States. doi:10.1016/j.physa.2017.11.077.
@article{osti_1411359,
title = {Correlations and clustering in wholesale electricity markets},
author = {Cui, Tianyu and Caravelli, Francesco and Ududec, Cozmin},
abstractNote = {We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the locational structure of the grid. We study various clustering methods and introduce a type of correlation function based on event synchronization for spiky time series, and another based on string correlations of location names provided by the markets. As a result, this allows us to reconstruct aspects of the locational structure of the grid.},
doi = {10.1016/j.physa.2017.11.077},
journal = {Physica. A},
number = ,
volume = 492,
place = {United States},
year = {Fri Nov 24 00:00:00 EST 2017},
month = {Fri Nov 24 00:00:00 EST 2017}
}

Journal Article:
Free Publicly Available Full Text
This content will become publicly available on November 24, 2018
Publisher's Version of Record

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Cited by: 1 work
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