Supplemental materials for: The fundamental drivers of electricity price: a multi-scale adaptive regression analysis

Abstract of associated article: Is the influence of such fundamental drivers as electricity demand and fossil fuel prices on electricity price time- and scale-dependent? At which time-scales the influence of electricity demand on electricity price is the strongest? Starting with which time scale changes in the fuel markets impact the electricity price? To answer these questions, the paper proposes a novel methodology -- a multi-scale adaptive regression analysis (MSARA) based on the time-dependent intrinsic regression (TDIR). Its application is demonstrated both on simulated data, and the actual data from three electricity markets: the Europe-Ural price area (ATS EU) and the Siberia price area (ATS SI) in Russia, and the APX power spot exchange in the UK. The obtained results show that the influence of fundamental factors on electricity price does depend on time scale, and for the majority of the time scales is time-dependent. The influence of electricity demand is the most prominent both in the short- and long-terms for ATS EU and APX, while for ATS SI its impact is significant only in the long-term. Finally, for all the electricity exchanges under study, the influence of fuel markets is absent in the short-term, and becomes prominent only in the medium- or long-terms.关联论文摘要：诸如电力需求与化石燃料价格这类核心驱动因素，对电价的影响是否具备时间与尺度依赖性？电力需求对电价的影响在哪些时间尺度下最为显著？燃料市场的变化从哪一时间尺度起开始对电价产生影响？为解答上述问题，本文提出了一种全新的研究方法——基于时变本征回归（time-dependent intrinsic regression, TDIR）的多尺度自适应回归分析（multi-scale adaptive regression analysis, MSARA）。该方法不仅在模拟数据集上完成了验证，同时也被应用于三个电力市场的实际交易数据：俄罗斯的欧洲-乌拉尔电价区域（ATS EU）、西伯利亚电价区域（ATS SI），以及英国的APX电力现货交易所。研究结果表明，核心影响因素对电价的影响确实依赖于时间尺度，且在绝大多数时间尺度下具备时变特性。对于ATS EU与APX市场，电力需求的影响在短期与长期维度均最为显著；而在ATS SI市场中，电力需求的影响仅在长期维度下才具有显著性。最后，在所研究的全部电力交易市场中，燃料市场的影响在短期维度下均不存在，仅在中、长期维度下才会显现出显著作用。