Analysis of Financial Transmission Rights Obligations and Hourly Congestion Prices in PJM Markets

In this research we analyze patterns of FTR obligation contracts using hourly data from January 1st, 2015 through December 31st, 2018 between PJM Western and AEP Dayton hubs and concluded that there are positive net profits in FTR obligation contracts if someone were to buy and hold the contracts until they were actualized. We applied Schwartz’s one-factor log-model to changes in congestion prices, but our tests showed that residuals of the model are not normally distributed. We then applied OU process to outright congestion prices and used recursive approach proposed by Clewlow and Strickland (2000) to remove jumps from OU residuals. We concluded that non-jump and jump data sets are not normally distributed in both PJM Western and AEP Dayton hubs. Given congestion prices showed fat-tails and non-normal distributions for both jumps and non-jumps data points, we applied Johnson’s Unbounded Distribution to congestion prices and calibrated its parameters for both congestion prices. We defined a variable to filter out hourly data depending on how much of transmission interface were used in different hours and we recalibrated sets of parameters for those cases.

Name thesis:degree_name

Master of Science (MSc)

Discipline thesis:degree_discipline

Mathematics & Statistics

Grantor dc:publisher.institution

Science

Year dc:date.issued

2019

Author dc:creator

• Arablou, Zahra

Advisor dc:contributor.advisor

• Ware, Antony Frank

Committee members dc:contributor.committeemember

• Swishchuk, Anatoliy V.
• Wu, Jingjing

• Financial Transmission Rights, PJM market, Power market, Mathematics

Statement dc:rights

• University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.

Language dc:language.iso

eng

DOI

http://dx.doi.org/10.11575/PRISM/37083

OAI identifier oai:identifier

oai:ucalgary.scholaris.ca:1880/111018