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英文文献：Space-time modeling of electricity spot prices-电力现货价格的时空建模
英文文献作者：Girum D. Abate,Niels Haldrup
英文文献摘要：
In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a network of power exchange areas. We use data from the Nord Pool electricity power exchange area bidding markets. Different spatial weight matrices are considered to capture the structure of the spatial dependence process across different bidding markets and statistical tests show significant spatial dependence in the spot price dynamics. Estimation of the spatial Durbin model show that the spatial lag variable is as important as the temporal lag variable in describing the spot price dynamics. We use the partial derivatives impact approach to decompose the price impacts into direct and indirect effects and we show that price effects transmit to neighboring markets and decline with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price spatial Durbin model is estimated using recursive estimation. It is found that the spatial correlation within the Nord Pool grid has been increasing over time which we interpret as evidence for an increasing degree of market integration.
本文推导了一个电力现货价格的时空模型。一般的空间德宾模型，包括时间和空间滞后的现货价格提出。当电价和负荷在电力交换区域的网络中确定时，时空效应的联合建模必然是重要的。我们使用来自Nord Pool电力交换区投标市场的数据。不同的空间权重矩阵被认为是为了捕捉不同投标市场的空间依赖过程的结构，统计检验表明在现货价格动态中存在显著的空间依赖。对空间杜宾模型的估计表明，在描述现货价格动态时，空间滞后变量与时间滞后变量同样重要。利用偏导数影响方法将价格影响分解为直接影响和间接影响，证明了价格影响向相邻市场传导并随距离而衰减。为了检验空间相关性随时间的演变，一个时变参数现货价格空间德宾模型用递推估计估计。研究发现，Nord Pool网格内的空间相关性随着时间的推移而增加，我们将其解释为市场整合程度增加的证据。
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