The paper "An intra-day Analysis of Electricity Forward Premia" written by Li Kun, a young teacher of our school, as an independent author, was accepted by and invited to report at the annual AIEE (Associazione Italiana Economisti dell' Energia) energy economics seminar in December 2018. The AIEE committee selected 12 excellent papers from more than 200 submitted papers and published them in the annual journal of that year. This is the second time that Mr. Li Kun has been selected as the AIEE annual excellent paper after 2017. This paper is the only one from Chinese universities and research institutions among the 12 selected papers this year.

The cover page of the AIEE publication.

Li Kun’s paper is listed among the selected papers by AIEE.

Founded in 1977, the Associazione Italiana Economisti dell 'energia (AIEE) has more than 3,500 members and 29 subsidiaries, making it one of the most influential academic institutions in energy economics in Europe and the world. The symposium on energy economics sponsored by the society is an internationally influential academic conference in the field of energy economics (CPCI-SSH retrieval).

Introduction of the paper:

The purpose of this study is to explore the price dynamics in the electricity market. We study the forward premium, which is defined as the difference between the forward price and the expected spot price of electricity. Using a dataset which includes multi-transmission-lines with hour-based frequency, we first observe that the electricity forward premium exists in our data, with a large variance, and a negative skewness. Second, we test both the time-varying and cross-sectional effects in the relationship between short-term forward prices and realized spot prices. We decompose the forward price into two components: transmission congestion cost and cost of marginal losses, and we find that the forward transmission congestion cost dominates the forward premium and consequently leads to a higher realized spot price. Third, we derive a new method to examine the significance of seasonality impact in forward premier. We find that the significant calendar effects in forward prices are different from those in spot prices. These results confirm the forward premium, and further extend the existing empirical literature by studying the properties of forward premium documenting new-risk-factor-related time variation.