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Pricing Problems on the Russian Electricity Market

Student: Daria Shchurupova

Supervisor: Andrey G. Maksimov

Faculty: Faculty of Economics

Educational Programme: Economics (Master)

Year of Graduation: 2017

The study deals with the mechanisms of electricity price formation on the Russian wholesale market and suggests econometric models for predicting price dynamics. The pricing issues are becoming one of the primary fields for investigation because of the recent reformation of Russian wholesale electricity industry into competitive market and an increasing role of electricity in general. The first chapter presents a detailed analysis of the wholesale electricity market in Russia: basic concepts, market structure, participants, zonal division, evolutionary development, current problems. The review is important for further modeling of pricing, because it reveals the peculiarities of price dynamics. Chapter 2 explores the main approaches to electricity pricing, among which econometric modeling is selected for further development In the third chapter dependence of the price on the exogenous factors is simulated, taking into account the structural features of the market and peculiarities of the price dynamics. On the basis of the actual database for 2014 ARMA models are developed to predict hourly electricity prices on the day-ahead market for two price zones in Russia. A set of models, which are similar in nature but different in included regressors, are introduced. Dynamic forecasts on month ahead are conducted and the most suitable models from the point of minimizing the norms of the vectors residuals are chosen. To evaluate the quality of the forecast the obtained models are compared with the one-factor regression and the forecast by the mean value.

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