prikaz prve stranice dokumenta Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima
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master's thesis
Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima
Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing, 2021. urn:nbn:hr:168:262368
Martinović, Nika
University of Zagreb
Faculty of Electrical Engineering and Computing

Institutional repository: FER Repository

Cite this document

Martinović, N. (2021). Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima (Master's thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:262368

Martinović, Nika. "Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima." Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2021. https://urn.nsk.hr/urn:nbn:hr:168:262368

Martinović, Nika. "Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima." Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2021. https://urn.nsk.hr/urn:nbn:hr:168:262368

Martinović, N. (2021). 'Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima', Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 21 December 2024, https://urn.nsk.hr/urn:nbn:hr:168:262368

Martinović N. Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima [Master's thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2021 [cited 2024 December 21] Available at: https://urn.nsk.hr/urn:nbn:hr:168:262368

N. Martinović, "Algoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima", Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:168:262368

Metadata
TitleAlgoritmi za određivanje cijena na kratkoročnim i dugoročnim energetskim tržištima
Title (english)Pricing Algorithms in Short-term and Long-term Power Markets
AuthorNika Martinović
MentorHrvoje Pandžić (mentor)
Committee memberHrvoje Pandžić (predsjednik povjerenstva)
Committee memberŽeljko Tomšić (član povjerenstva)
Committee memberMarko Delimar (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Electrical Engineering and Computing
Zagreb
Defense date and country2021-09-21, Croatia
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Electrical Engineering
Abstract
Proces decentralizacije i dekarbonizacije elektroenergetskog sustava uzrokuje ekstremne volatilnosti na spot tržištu električne energije. Kako bi se sudionici na tržištu zaštitili tog od rizika i trgovali na učinkovito, važno je upotrijebiti prikladne matematičke modele za predikciju cijena kratkoročnih i dugoročnih tržišta. Glavne karakteristike cijena koje modeli moraju zadovoljiti su sezonalnost, mean reversion proces i iznenadne skokove u cijenama. U radu su obrađena tri modela, koja uspijevaju pokriti neke ili sve od njih. Prvi dva modela su jedno-faktorski modeli s Gaussovom razdiobom i sa inverznom Gaussovom razdiobom, bazirani na Ornstein-Uhlenbeck i Lévyevom procesu. Iako uspješno pokrivaju sezonalni trend i povratak u prosjek, ne uspijevaju replicirati skokove i osigurati odgovarajuću dinamiku cijena. Uvođenje dodatnog faktora u trećem modelu, baziranog na Poissonovom procesu, uspješno rješava problem iznenadnih skokova i povećava volatilnost u cijenama forward ugovora, no traži nešto kompleksniji način estimacije parametara.
Abstract (english)
The processes of decentralization and decarbonisation of the electricity system causes extreme volatility in the spot electricity market. To protect market participants from price risks and make trading efficient, it is important to use appropriate mathematical models to predict the price on short-term and long-term markets. The main price characteristics that models must meet are seasonality, mean reversion and jumps process. The thesis deals with three models, which manage to cover some or all of them. The first two models are one-factor models with Gaussian distribution and with inverse Gaussian distribution, based on the Ornstein-Uhlenbeck and Lévy process. Although they successfully cover the seasonal trend and mean reversion process, they fail to replicate the jumps and ensure an appropriate dynamic price. By introducing an additional factor in the third model, based on the Poisson process, solving the problem of sudden jumps and increasing volatility in forward contract prices is done more successfully, with somewhat more complex way of estimating the parameters required.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:262368
Study programmeTitle: Electrical Engineering and Information Technology
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra inženjer/inženjerka elektrotehnike i informacijske tehnologije (magistar/magistra inženjer/inženjerka elektrotehnike i informacijske tehnologije)
Type of resourceText
File originBorn digital
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Created on2023-01-13 15:32:35