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

カテゴリ: 論文誌(論文単位)

グループ名: 【B】電力・エネルギー部門

発行日: 2013/08/01

タイトル(英語): An Error Correction Model Analysis on the Traded Volumes in JEPX Day-ahead Spot Market

著者名: 大藤　建太（会津大学），巽　直樹（（株）インソース）

著者名(英語): Kenta Ofuji (University of Aizu), Naoki Tatsumi (InSource. Inc.)

キーワード: 日本卸電力取引所（JEPX），取引量，時系列分析，誤差修正モデル　　Japan Electric Power Exchange (JEPX)，traded volume，time-series analysis，error correction model

要約(英語): 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.

本誌: 電気学会論文誌B（電力・エネルギー部門誌） Vol.133 No.8 （2013）

本誌掲載ページ: 664-671 p

原稿種別: 論文／日本語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejpes/133/8/133_664/_article/-char/ja/