Efficiency of the California electricity reserves market
通过分析日前与小时前价格的系统性差异，检验加州电力储备市场的效率，发现日前溢价源于市场设计中的委托代理问题和供给端进入壁垒，并开发了新的EM算法估计高维向量移动平均模型。
Abstract We test the efficiency of the California electricity reserves market by examining systematic differences between its day‐ and hour‐ahead prices. We uncover significant day‐ahead premia, which we attribute to market design characteristics. On the demand side, the market design established a principal–agent relationship between the markets' buyers (principal) and their supervisory authority (agent). The agent had very limited incentives to shift reserve purchases to the lower priced hour‐ahead markets. On the supply side, the market design raised substantial entry barriers by precluding purely speculative trading and by introducing a complicated code of conduct that induced uncertainty about which actions were subject to regulatory scrutiny. We use a high‐dimensional vector moving average model to estimate the premia and conduct correct inferences. To obtain exact maximum likelihood estimates of the model, we develop a new EM algorithm that seamlessly incorporates missing data and applies directly to general moving average time series models. Our algorithm uses only analytical expressions: the Kalman filter and a fixed interval smoother in the E step and least squares‐type regressions in the M step. Copyright © 2007 John Wiley & Sons, Ltd.