IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v241y2016i1d10.1007_s10479-011-1033-x.html
   My bibliography  Save this article

Australian electricity market and price volatility

Author

Listed:
  • J. Boland

    (The University of South Australia)

  • J. A. Filar

    (Flinders University)

  • G. Mohammadian

    (Flinders University)

  • A. Nazari

    (The University of South Australia)

Abstract

Australian Electricity Market has experienced high price volatility since the deregulation in early 1990s. In this exploratory and preliminary analysis of 2010 data from South Australian electricity market we identify and exhibit a number of phenomena which, arguably, contribute to (A) high cost of electricity supply to consumers and (B) volatility in spot prices. These phenomena include: (i) Distinct bidding patterns of some generators occurring in trading intervals corresponding to periods of low, medium and high spot prices, (ii) Low correlation between electricity demand and spot prices on days when spot price spikes are observed, (iii) Failure of the lottery model and associated Markowitz-type optimisation approaches to adequately explain the shifting structure of generators’ bids and (iv) Unexpectedly high contribution to the consumers costs and risks from the relatively small number of trading intervals where spot price spikes were observed.

Suggested Citation

  • J. Boland & J. A. Filar & G. Mohammadian & A. Nazari, 2016. "Australian electricity market and price volatility," Annals of Operations Research, Springer, vol. 241(1), pages 357-372, June.
    • Handle: RePEc:spr:annopr:v:241:y:2016:i:1:d:10.1007_s10479-011-1033-x
    DOI: 10.1007/s10479-011-1033-x
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10479-011-1033-x
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10479-011-1033-x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Michael N. Katehakis & Cyrus Derman, 1989. "On the Maintenance of Systems Composed of Highly Reliable Components," Management Science, INFORMS, vol. 35(5), pages 551-560, May.
    2. E. J. Anderson & A. B. Philpott, 2002. "Optimal Offer Construction in Electricity Markets," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 82-100, February.
    3. Borenstein, Severin & Bushnell, James, 2000. "Electricity Restructuring: Deregulation or Reregulation?," Competition Policy Center, Working Paper Series qt22d2q3fn, Competition Policy Center, Institute for Business and Economic Research, UC Berkeley.
    4. A. Ben-Tal & A. Nemirovski, 1998. "Robust Convex Optimization," Mathematics of Operations Research, INFORMS, vol. 23(4), pages 769-805, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Khalil Gholami & Ali Azizivahed & Ali Arefi & Li Li & Mohammad Taufiqul Arif & Md Enamul Haque, 2024. "Coordinated Volt-Var Control of Reconfigurable Microgrids with Power-to-Hydrogen Systems," Energies, MDPI, vol. 17(24), pages 1-20, December.
    2. Swasti R. Khuntia & Jose L. Rueda & Mart A.M.M. Van der Meijden, 2018. "Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model," Energies, MDPI, vol. 11(12), pages 1-19, November.
    3. Khalil Gholami & Mohammad Taufiqul Arif & Md Enamul Haque, 2025. "Dynamic Boundary Dissemination to Virtual Power Plants for Congestion and Voltage Management in Power Distribution Networks," Energies, MDPI, vol. 18(3), pages 1-27, January.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wenqing Chen & Melvyn Sim & Jie Sun & Chung-Piaw Teo, 2010. "From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization," Operations Research, INFORMS, vol. 58(2), pages 470-485, April.
    2. Stefan Mišković, 2017. "A VNS-LP algorithm for the robust dynamic maximal covering location problem," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(4), pages 1011-1033, October.
    3. Chuong, T.D. & Jeyakumar, V., 2017. "Convergent hierarchy of SDP relaxations for a class of semi-infinite convex polynomial programs and applications," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 381-399.
    4. Chassein, André & Dokka, Trivikram & Goerigk, Marc, 2019. "Algorithms and uncertainty sets for data-driven robust shortest path problems," European Journal of Operational Research, Elsevier, vol. 274(2), pages 671-686.
    5. Dranichak, Garrett M. & Wiecek, Margaret M., 2019. "On highly robust efficient solutions to uncertain multiobjective linear programs," European Journal of Operational Research, Elsevier, vol. 273(1), pages 20-30.
    6. Wang, Chong & Wang, Qi & Xiang, Xi & Zhang, Canrong & Miao, Lixin, 2025. "Optimizing integrated berth allocation and quay crane assignment: A distributionally robust approach," European Journal of Operational Research, Elsevier, vol. 320(3), pages 593-615.
    7. J. Behnamian & Z. Gharabaghli, 2023. "Multi-objective outpatient scheduling in health centers considering resource constraints and service quality: a robust optimization approach," Journal of Combinatorial Optimization, Springer, vol. 45(2), pages 1-35, March.
    8. Lorenzo Rocco, 2002. "Pricing of an Endogenous Peak-Load," Working Papers 54, University of Milano-Bicocca, Department of Economics, revised Aug 2002.
    9. Kang, Yan-li & Tian, Jing-Song & Chen, Chen & Zhao, Gui-Yu & Li, Yuan-fu & Wei, Yu, 2021. "Entropy based robust portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    10. Galbreath, Jeremy, 2017. "Drivers Of Environmental Sustainability In Wine Firms: The Role And Effect Of Women In Leadership," Working Papers 253851, American Association of Wine Economists.
    11. Beck, Yasmine & Ljubić, Ivana & Schmidt, Martin, 2023. "A survey on bilevel optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 311(2), pages 401-426.
    12. Antonio G. Martín & Manuel Díaz-Madroñero & Josefa Mula, 2020. "Master production schedule using robust optimization approaches in an automobile second-tier supplier," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 143-166, March.
    13. Hanif, Sarmad & Alam, M.J.E. & Roshan, Kini & Bhatti, Bilal A. & Bedoya, Juan C., 2022. "Multi-service battery energy storage system optimization and control," Applied Energy, Elsevier, vol. 311(C).
    14. Hamed Mamani & Shima Nassiri & Michael R. Wagner, 2017. "Closed-Form Solutions for Robust Inventory Management," Management Science, INFORMS, vol. 63(5), pages 1625-1643, May.
    15. Severin Borenstein & James Bushnell, 2015. "The US Electricity Industry After 20 Years of Restructuring," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 437-463, August.
    16. Martijn G. de Jong & Jan-Benedict E. M. Steenkamp & Bernard P. Veldkamp, 2009. "A Model for the Construction of Country-Specific Yet Internationally Comparable Short-Form Marketing Scales," Marketing Science, INFORMS, vol. 28(4), pages 674-689, 07-08.
    17. Sturm, J.F. & Zhang, S., 2001. "On Cones of Nonnegative Quadratic Functions," Discussion Paper 2001-26, Tilburg University, Center for Economic Research.
    18. Odysseas Kanavetas & Barış Balcıog̃lu, 2022. "The “Sensitive” Markovian queueing system and its application for a call center problem," Annals of Operations Research, Springer, vol. 317(2), pages 651-664, October.
    19. Steve Zymler & Daniel Kuhn & Berç Rustem, 2013. "Worst-Case Value at Risk of Nonlinear Portfolios," Management Science, INFORMS, vol. 59(1), pages 172-188, July.
    20. Shunichi Ohmori, 2021. "A Predictive Prescription Using Minimum Volume k -Nearest Neighbor Enclosing Ellipsoid and Robust Optimization," Mathematics, MDPI, vol. 9(2), pages 1-16, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:241:y:2016:i:1:d:10.1007_s10479-011-1033-x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.