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Power Spot Market of the European Energy Exchange and Its Influence on the Czech Power Market
Vavřičková, Jana ; Červinka, Michal (advisor) ; Krištoufek, Ladislav (referee)
The main purpose of the thesis is providing a detailed description of the clearing process on power spot market of European Energy Exchange (EEX), in view of the algorithmic methods employed. The thesis encompasses the mathematical formulation of the discrete optimization problem solved in the price determination process while the algorithm searches for such combination of block and hourly orders to be executed that would minimize the social cost associated to the chosen combination of orders. The market and network constraints typical for electricity trading are considered by the algorithm in the price determination process. The first chapter also provides the reader with basic knowledge of the trading on the Prague-based Power Exchange Central Europe. The last chapter contains an empirical analysis of the spot prices of the Czech and German power markets, which uses vector autoregression to test the hypothesis of dependance of the development of Czech spot energy prices on their German counterparts. Key words: EEX, PXE, spot markets, clearing process, COSMOS, discrete optimization, branch- and-bound
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