Data for: Modelling interregional links in electricity price spikes

Abstract of associated article: Abnormally high price spikes in spot electricity markets represent a significant risk to market participants. As such, a literature has developed that focuses on forecasting the probability of such spike events, moving beyond simply forecasting the level of price. Many univariate time series models have been proposed to deal with spikes within an individual market region. This paper is the first to develop a multivariate self-exciting point process model for dealing with price spikes across connected regions in the Australian National Electricity Market. The importance of the physical infrastructure connecting the regions on the transmission of spikes is examined. It is found that spikes are transmitted between the regions, and the size of spikes is influenced by the available transmission capacity. It is also found that improved risk estimates are obtained when inter-regional linkages are taken into account.关联研究论文摘要：现货电力市场中的异常高价尖峰事件，会对市场参与者构成显著风险。为此，相关研究领域已形成了聚焦此类尖峰事件发生概率预测的研究方向，而非仅局限于对电价水平的预测。此前已有诸多单变量时间序列模型被提出，用于处理单个市场区域内的电价尖峰问题。本文首次针对澳大利亚国家电力市场（Australian National Electricity Market）内互联区域间的电价尖峰问题，构建了多变量自激点过程模型。研究探讨了连接各区域的物理基础设施在尖峰事件传播过程中的重要作用。结果发现，尖峰事件会在不同区域间传播，且尖峰规模受可用输电容量的影响；同时，当纳入区域间互联链路因素时，所得到的风险估计精度会得到提升。