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One‐day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data

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  • Lester Hadsell
  • Hany A. Shawky

Abstract

This study examines one‐day forward premiums at the hourly level on the New York independent systems operator wholesale electricity market for the period 2001–2005. Examining two representative zones, the authors show that premiums vary by hour of day, day of week, and month. We report differences in the level and volatility of the premium across zones. We measure the impact of opening the market to outsiders through the introduction of virtual bidding. Results indicate that virtual bidding is associated with lower premiums in off‐peak or near‐off‐peak hours; it is associated with higher premiums during peak hours. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1107–1125, 2007

Suggested Citation

  • Lester Hadsell & Hany A. Shawky, 2007. "One‐day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(11), pages 1107-1125, November.
    • Handle: RePEc:wly:jfutmk:v:27:y:2007:i:11:p:1107-1125
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    Cited by:

    1. Ehsan Samani & Mahdi Kohansal & Hamed Mohsenian-Rad, 2021. "A Data-Driven Convergence Bidding Strategy Based on Reverse Engineering of Market Participants' Performance: A Case of California ISO," Papers 2109.09238, arXiv.org.
    2. Estevão, João & Raposo, Clara, 2018. "The impact of the 2030 Climate and Energy Framework Agreement on electricity prices in MIBEL: A mixed-methods approach," Journal of Business Research, Elsevier, vol. 89(C), pages 411-417.

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