誤差修正モデルを用いたJEPX前日スポット約定量の時系列分析

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概要

• 論文の詳細を見る

• The traded volumes in Japan Electric Power Exchange (JEPX) are desired to increase. However, few studies have clarified what factors have contributed to impacting the traded volumes, including the time-wise changes of these contributions. In this study, the authors analyzed the traded volume using error correction models. As a result, a cointegration relationship was found where the traded volume of 1GWh was mainly associated with the buying bids of 2.8-4.0GWh, while such association with the selling offers was minor. In addition, the traded volume was also influenced by short-term disturbances that reverted to this cointegration equilibrium in about three weeks. However, much of such short-term disturbances were based on the past deviation from the cointegration equilibrium, implying the importance of buying bid increases.

• The Institute of Electrical Engineers of Japanの論文

著者

• 大藤 建太

  会津大学

• 巽 直樹

  （株）インソース

関連論文

• 誤差修正モデルを用いたJEPX前日スポット約定量の時系列分析

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