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Cross Hedging Using Prediction Error Weather Derivatives for Loss of Solar Output Prediction Errors in Electricity Market
https://doi.org/10.24517/00068382
https://doi.org/10.24517/00068382924d10a9-f23e-4ad7-acff-e09bb9429c0b
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
TE-PR-MATSUMOTO-T-26-211.pdf (1.3 MB)
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| Item type | 学術雑誌論文 / Journal Article(1) | |||||||
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| 公開日 | 2022-12-01 | |||||||
| タイトル | ||||||||
| タイトル | Cross Hedging Using Prediction Error Weather Derivatives for Loss of Solar Output Prediction Errors in Electricity Market | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||
| 資源タイプ | journal article | |||||||
| ID登録 | ||||||||
| ID登録 | 10.24517/00068382 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
Matsumoto, Takuji
× Matsumoto, Takuji× Yamada, Yuji |
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| 著者別表示 |
松本, 拓史
× 松本, 拓史
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| 提供者所属 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 金沢大学融合研究域融合科学系 | |||||||
| 書誌情報 |
Asia-Pacific Financial Markets 巻 26, 号 2, p. 211-227, 発行日 2019-06-15 |
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| ISSN | ||||||||
| 収録物識別子タイプ | ISSN | |||||||
| 収録物識別子 | 1387-2834 | |||||||
| ISSN | ||||||||
| 収録物識別子タイプ | ISSN | |||||||
| 収録物識別子 | 1573-6946 | |||||||
| NCID | ||||||||
| 収録物識別子タイプ | NCID | |||||||
| 収録物識別子 | AA11224457 | |||||||
| DOI | ||||||||
| 関連タイプ | isVersionOf | |||||||
| 識別子タイプ | DOI | |||||||
| 関連識別子 | 10.1007/s10690-018-9264-3 | |||||||
| 出版者 | ||||||||
| 出版者 | Japanese Association of Financial Econometrics and Engineering 日本金融・証券計量・工学学会 / Springer | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | Predicting future solar conditions is important for electricity industries with solar power generators to quote a day-ahead sales contract in the electricity market. If a prediction error exists, the market-monitoring agent has to prepare another power generation resource to immediately compensate for the shortage, resulting in an additional cost. In this context, a penalty may be required depending on the size of the prediction error, which may lead to a significant loss for solar power producers. Because the main source of such losses is from prediction errors of solar conditions, they can instead effectively utilize a derivative contract based on solar prediction errors. The objective of this work is to provide such a derivative contract, namely, a prediction error weather derivative. First, defining a certain loss function, we measure the hedge effect of the derivative on solar radiation prediction error, thereby verifying that the existing hedging method for wind power can also be applied to solar power generation with periodic trends. By introducing the temperature derivative on the absolute prediction error, we also propose a cross-hedging method, where we demonstrate not only a further variance reduction effect when used with solar radiation derivatives, but also a certain hedge effect obtained even when only the temperature derivative is used. For temperature derivative pricing and optimal contract volume estimation, we propose a method using a tensor-product spline function that simultaneously incorporates the smoothing conditions of both the direction of intraday time trend and seasonal trend, and consequently verify its effectiveness. © 2018, Springer Japan KK, part of Springer Nature. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Embargo Period 12 months | |||||||
| 権利 | ||||||||
| 権利情報 | Copyright © 2018, Springer Japan KK, part of Springer Nature. | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | AM | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||
| 関連URI | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://link.springer.com/article/10.1007/s10690-018-9264-3 | |||||||
| 関連名称 | https://link.springer.com/article/10.1007/s10690-018-9264-3 | |||||||
| 関連URI | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://www.springer.com/journal/10690 | |||||||
| 関連名称 | https://www.springer.com/journal/10690 | |||||||
| 関連URI | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | http://www.jafee.gr.jp/03journal/journal-issue-e.html | |||||||
| 関連名称 | http://www.jafee.gr.jp/03journal/journal-issue-e.html | |||||||
| 関連URI | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | http://www.jafee.gr.jp/ | |||||||
| 関連名称 | http://www.jafee.gr.jp/ | |||||||
