The Classification of Spot Contracts from POLPX and EEX

• Autorzy: Alicja Ganczarek-Gamrot , Barbara Glensk , Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to show and compare different levels of risk during a day and during a week on spot markets from the Polish Power Exchange (POLPX) and the European Energy Exchange (EEX). Based on Principal Component Analysis (PCA) the classification of contracts from the two power exchanges was made. The classification was made for linear rates of return of 24 contracts listed on the power exchanges from 01.2009 to 24.10.2012. Additionally, the 24 contracts were divided into seven groups dependent on the day of a week. Based on these data sets the classification of risk during a week was made (original abstract)

Słowa kluczowe

EN

Empirical analysis; Statistical methods; Power industry; Principal Component Analysis (PCA)

PL

Analiza empiryczna; Metody statystyczne; Przemysł energetyczny; Analizy głównych komponentów

• Czasopismo: Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Numer: nr 162 Wielowymiarowe modelowanie i analiza ryzyka
• Strony: 50--60

Twórcy

autor

Alicja Ganczarek-Gamrot

• Uniwersytet Ekonomiczny w Katowicach

autor

Barbara Glensk

• RWTH Aachen University

autor

Grażyna Trzpiot

• Uniwersytet Ekonomiczny w Katowicach

Bibliografia

• Blanco C., Soronow D., Stefiszyn P. (2002): Multi-factor Models for Forward Curve Analysis: An Introduction to Principal Component Analysis. "Commodities-Now", June.
• Blanco C., Soronow D., Stefiszyn P. (2002): Multi-factor Models of the Forward Price Curve. "Commodities-Now", September.
• Hotelling H. (1933): Analysis of a Complex of Statistical Variables into Principal Components. "Journal of Educational Psychology", No. 24.
• Trzpiot G., Ganczarek A. (2006): Value at Risk Using the Principal Components Analysis on the Polish Power Exchange. From Data and Information Analysis to Knowledge Engineering, Springer-Verlag Berlin-Heidelgerg.
• Trzpiot G., Ganczarek A. (2008): The Classification of Risk on the Polish Power Exchange. W: Zastosowania metod ilościowych. Red. J. Dziechciarz. "Ekonometria", No. 21.