Paper of BNUBS’s teacher Li Kun, “The Electricity Market Price: Volatility, Pattern and Forecast Analysis” was selected by Associazione Italiana Economisti dell' Energia (AIEE) which is one of the most influential energy economic academic institutions in Europe and even in the world as the 2017 annual excellent paper. AIEE chose 10 outstanding papers from hundreds of papers received in 2017 and published them in the 2017 yearbooks. Li Kun, whose paper was among the 10 outstanding ones, was invited to report in the Energy Economics Seminar sponsored by AIEE, which was an academic conference with international influence in the field of energy economics (CPCI-SSH search) in November 2017.

Abstract：

Electricity supply and demand have become an important topic related to economic development and environmental sustainability. The optimal resource allocation in the electricity market is tightly related to the investigation of calendar anomalies. This paper contributes to the discussion of calendar effects and their significance in the electricity market. We derive a powerful test for calendar specific anomalies, and assess the significance of the full universe of possible calendar effects. We implement our test to the PJM electricity market and assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-theyear, Day-of-the-month and season). Our results show that calendar effects exist in every time frequency, and also specify those calendar effects with statistical significance. The assessment of calendar effects will help improve the market efficiency and environmental sustainability of the electricity market.