This thesis focuses on the development of a forecasting model for short- to medium-term electricity spot prices, based on modelling the dynamics of the supply and demand functions. It is found that the equilibrium assumption frequently adopted in electricity price models does not always hold; to overcome this problem, a notional demand process derived from the market clearing condition is proposed. Not only is this demand process able to capture all the price-affecting factors in one variable, but it also allows the equilibrium assumption to be satisfied and a spot price model to be built, using any appropriate form of hypothetical supply function. In addition, this thesis presents a model for approximating and modelling the bid stacks by capturing the points that govern their shape and location. Integrating these two models provides a realistic model that has a mean absolute percentage error of approximately 19% and 24% for week- and month-ahead forecasts respectively, when applied to the New South Wales (NSW) half-hourly electricity spot prices. Additionally, the density forecasting evaluation method proposed by Diebold et al. (1998) is employed in the thesis to assess the performance of the model. Besides the development of a spot price model, a two-part empirical study is made of the prices of NSW electricity futures contracts. The first part of the study develops a method based on the principle of certainty equivalence, which enables the market utility function to be recovered from a set of futures market quotes. The method is tested with two different sets of simulated data and works as expected. However, it is unable to obtain useful results from the NSW market quotes due to the poor data quality. The second part uses a regression method to investigate the relationship between futures prices and the descriptive statistics of the underlying spot prices. The result suggests that futures prices in NSW are linear combinations of the median and volatility of the final payoff.

The restructuring of many national and state electricity industries over the last two decades has created new sets of laws and regulations, market design and participants. Along with those changes, industry risks have also been transformed significantly. Prior to restructuring, government-owned or carefully regulated monopoly private utilities would manage most of these industry risks. With restructuring, however, both the government, through their market regulators, and industry participants need to manage a range of previous,, yet also now new, risks. While the government???s risk management strategy is focused on the industry as a whole, participants are naturally more concerned with their individual risks. The Australian National Electricity Market (NEM) is one of the many electricity markets that were formed through the restructuring process underway worldwide. It created a number of new types of market participants facing different sets of risks. The main objective of this thesis is to examine the management of market risk by these different NEM participants. The methodology used in the thesis involves developing a fundamental understanding of electricity restructuring, the NEM and the various risks faced by the different NEM participants. Data on NEM spot prices, ancillary costs and forward prices are analysed to gain a better understanding of its relationship with market activities. Different risk management strategies, both proactive and reactive, that can be taken by the participants are discussed This thesis has highlighted some of the complexities involved in managing risks in a restructured electricity industry. Risks are never static and changes in market conditions alter the risk exposure of the participants. Therefore, participants will need to constantly monitor their risk exposure and update their risk management strategies. The Cash-Flow-at-Risk methodology is introduced as a possible tool to measure risk and analyse risk management options for different NEM participants.

Thesis (M.S.)--Missouri University of Science and Technology, 2008. / Degree granted by Missouri University of Science and Technology, formerly known as the University of Missouri-Rolla. Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed March 31, 2008) Includes bibliographical references (p. 42-44).

Diss. (sammanfattning) Uppsala : Univ., 2004.

Thesis (M.A.)--Virginia Polytechnic Institute and State University, 1994. / Vita. Abstract. Includes bibliographical references (leaves 51-53). Also available via the Internet.

Thesis (Ph. D.)--University of Canterbury, 2008. / Typescript (photocopy). "April 2008." Includes bibliographical references (p. [269]-277). Also available via the World Wide Web.

Thesis (M. Phil.)--University of Hong Kong, 2007. / Title proper from title frame. Also available in printed format.

Thesis (Ph.D.)--York University, 2007. Graduate Programme in Economics. / Typescript. Includes bibliographical references (leaves 104-109). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:NR29317

Title from PDF of title page (University of Missouri--Columbia, viewed on Feb. 23, 2010). The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Dissertation advisor: Dr. David Mandy. Vita. Includes bibliographical references.

Thesis (M.S.)--University of Wisconsin--Madison, 1965. / eContent provider-neutral record in process. Description based on print version record. Bibliography: l. 102-104.