This paper documents seasonal patterns and other characteristics of electricity spot prices in th... more This paper documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a seven-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature on electricity prices. The results confirm that electricity prices exhibit significant time-of-day and day-of-week effects and that monthly and yearly effects are significant to a lesser degree. Extremely high spikes in the price series are an important characteristic of electricity prices and are shown to be a highly significant component of returns behaviour. Negative prices are unusual in financial time series data but occur in Australian electricity prices and are found to be influential on returns. The implications of these finding are that seasonal and outlier effects should not be ignored in efforts to model electricity prices.
This paper documents seasonal patterns and other characteristics of electricity spot prices in th... more This paper documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a seven-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature on electricity prices. The results confirm that electricity prices exhibit significant time-of-day and day-of-week effects and that monthly and yearly effects are significant to a lesser degree. Extremely high spikes in the price series are an important characteristic of electricity prices and are shown to be a highly significant component of returns behaviour. Negative prices are unusual in financial time series data but occur in Australian electricity prices and are found to be influential on returns. The implications of these finding are that seasonal and outlier effects should not be ignored in efforts to model electricity prices.
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Papers by H. Mitchell