Anomalías Financieras en el Mercado de Electricidad

Análisis empririco de los precios spot

Resultado de la investigación: Capítulo del libro/informe/acta de congresoContribución a la conferenciaInvestigaciónrevisión exhaustiva

Resumen

A key element that must consider the electricity generators in their operation planning process is the electricity price forecasting. Thus, for this task it is fundamental to identify a forecasting tool. In this direction, this paper presents forecast models for the price of electricity in the Colombian market. The different models are based in different schemes such as: autoregressive mobile media, generalized processes of conditional autoregressive heteroscedasticity (ARMA-GARCH), seasonal autoregressive models with mobile average and exogenous regressors (SARIMAX-GARCH). Likewise, using the theory of markets efficiency hypothesis the results show the presence of monthly calendar effects and the presence of nonlinear and asymmetric volatility which changes over time together with an inverse leverage effect.

Idioma originalEspañol
Título de la publicación alojadaMemorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies
EditoresAlvaro Rocha, Manuel Perez Cota, Adolfo Lozano-Tello, Ramiro Goncalves
EditorialIEEE Computer Society
Páginas1-7
Número de páginas7
Volumen2018-June
ISBN (versión digital)9789899843486
DOI
EstadoPublicada - 27 jun 2018
Evento13th Iberian Conference on Information Systems and Technologies, CISTI 2018 - Caceres, Espana
Duración: 13 jun 201816 jun 2018

Serie de la publicación

NombreIberian Conference on Information Systems and Technologies, CISTI
Volumen2018-June
ISSN (versión impresa)2166-0727
ISSN (versión digital)2166-0735

Conferencia

Conferencia13th Iberian Conference on Information Systems and Technologies, CISTI 2018
PaísEspana
CiudadCaceres
Período13/06/1816/06/18

Huella dactilar

Electricity
Planning
Power markets

Palabras clave

  • Efficiency hypothesis
  • Electricity markets
  • Market anomalies
  • SARIMA-GARCH
  • Seasonality

Citar esto

Monica, A. A. A., Botero, S. B., & Jaime, H. H. B. (2018). Anomalías Financieras en el Mercado de Electricidad: Análisis empririco de los precios spot. En A. Rocha, M. P. Cota, A. Lozano-Tello, & R. Goncalves (Eds.), Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies (Vol. 2018-June, pp. 1-7). (Iberian Conference on Information Systems and Technologies, CISTI; Vol. 2018-June). IEEE Computer Society. https://doi.org/10.23919/CISTI.2018.8398640
Monica, Andrea Arango A. ; Botero, Sergio Botero ; Jaime, Humberto Hoyos B. / Anomalías Financieras en el Mercado de Electricidad : Análisis empririco de los precios spot. Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies. editor / Alvaro Rocha ; Manuel Perez Cota ; Adolfo Lozano-Tello ; Ramiro Goncalves. Vol. 2018-June IEEE Computer Society, 2018. pp. 1-7 (Iberian Conference on Information Systems and Technologies, CISTI).
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title = "Anomal{\'i}as Financieras en el Mercado de Electricidad: An{\'a}lisis empririco de los precios spot",
abstract = "A key element that must consider the electricity generators in their operation planning process is the electricity price forecasting. Thus, for this task it is fundamental to identify a forecasting tool. In this direction, this paper presents forecast models for the price of electricity in the Colombian market. The different models are based in different schemes such as: autoregressive mobile media, generalized processes of conditional autoregressive heteroscedasticity (ARMA-GARCH), seasonal autoregressive models with mobile average and exogenous regressors (SARIMAX-GARCH). Likewise, using the theory of markets efficiency hypothesis the results show the presence of monthly calendar effects and the presence of nonlinear and asymmetric volatility which changes over time together with an inverse leverage effect.",
keywords = "Efficiency hypothesis, Electricity markets, Market anomalies, SARIMA-GARCH, Seasonality",
author = "Monica, {Andrea Arango A.} and Botero, {Sergio Botero} and Jaime, {Humberto Hoyos B.}",
year = "2018",
month = "6",
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publisher = "IEEE Computer Society",
pages = "1--7",
editor = "Alvaro Rocha and Cota, {Manuel Perez} and Adolfo Lozano-Tello and Ramiro Goncalves",
booktitle = "Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies",
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Monica, AAA, Botero, SB & Jaime, HHB 2018, Anomalías Financieras en el Mercado de Electricidad: Análisis empririco de los precios spot. En A Rocha, MP Cota, A Lozano-Tello & R Goncalves (eds.), Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies. vol. 2018-June, Iberian Conference on Information Systems and Technologies, CISTI, vol. 2018-June, IEEE Computer Society, pp. 1-7, 13th Iberian Conference on Information Systems and Technologies, CISTI 2018, Caceres, Espana, 13/06/18. https://doi.org/10.23919/CISTI.2018.8398640

Anomalías Financieras en el Mercado de Electricidad : Análisis empririco de los precios spot. / Monica, Andrea Arango A.; Botero, Sergio Botero; Jaime, Humberto Hoyos B.

Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies. ed. / Alvaro Rocha; Manuel Perez Cota; Adolfo Lozano-Tello; Ramiro Goncalves. Vol. 2018-June IEEE Computer Society, 2018. p. 1-7 (Iberian Conference on Information Systems and Technologies, CISTI; Vol. 2018-June).

Resultado de la investigación: Capítulo del libro/informe/acta de congresoContribución a la conferenciaInvestigaciónrevisión exhaustiva

TY - GEN

T1 - Anomalías Financieras en el Mercado de Electricidad

T2 - Análisis empririco de los precios spot

AU - Monica, Andrea Arango A.

AU - Botero, Sergio Botero

AU - Jaime, Humberto Hoyos B.

PY - 2018/6/27

Y1 - 2018/6/27

N2 - A key element that must consider the electricity generators in their operation planning process is the electricity price forecasting. Thus, for this task it is fundamental to identify a forecasting tool. In this direction, this paper presents forecast models for the price of electricity in the Colombian market. The different models are based in different schemes such as: autoregressive mobile media, generalized processes of conditional autoregressive heteroscedasticity (ARMA-GARCH), seasonal autoregressive models with mobile average and exogenous regressors (SARIMAX-GARCH). Likewise, using the theory of markets efficiency hypothesis the results show the presence of monthly calendar effects and the presence of nonlinear and asymmetric volatility which changes over time together with an inverse leverage effect.

AB - A key element that must consider the electricity generators in their operation planning process is the electricity price forecasting. Thus, for this task it is fundamental to identify a forecasting tool. In this direction, this paper presents forecast models for the price of electricity in the Colombian market. The different models are based in different schemes such as: autoregressive mobile media, generalized processes of conditional autoregressive heteroscedasticity (ARMA-GARCH), seasonal autoregressive models with mobile average and exogenous regressors (SARIMAX-GARCH). Likewise, using the theory of markets efficiency hypothesis the results show the presence of monthly calendar effects and the presence of nonlinear and asymmetric volatility which changes over time together with an inverse leverage effect.

KW - Efficiency hypothesis

KW - Electricity markets

KW - Market anomalies

KW - SARIMA-GARCH

KW - Seasonality

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U2 - 10.23919/CISTI.2018.8398640

DO - 10.23919/CISTI.2018.8398640

M3 - Contribución a la conferencia

VL - 2018-June

T3 - Iberian Conference on Information Systems and Technologies, CISTI

SP - 1

EP - 7

BT - Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies

A2 - Rocha, Alvaro

A2 - Cota, Manuel Perez

A2 - Lozano-Tello, Adolfo

A2 - Goncalves, Ramiro

PB - IEEE Computer Society

ER -

Monica AAA, Botero SB, Jaime HHB. Anomalías Financieras en el Mercado de Electricidad: Análisis empririco de los precios spot. En Rocha A, Cota MP, Lozano-Tello A, Goncalves R, editores, Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies. Vol. 2018-June. IEEE Computer Society. 2018. p. 1-7. (Iberian Conference on Information Systems and Technologies, CISTI). https://doi.org/10.23919/CISTI.2018.8398640