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Nordic electricity hedging: A comparison with other commodity market structures
KTH, School of Industrial Engineering and Management (ITM), Energy Technology, Applied Thermodynamics and Refrigeration.
KTH, School of Industrial Engineering and Management (ITM), Energy Technology, Applied Thermodynamics and Refrigeration.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This master thesis investigates and answers three fundamental questions regarding structural changes of a future market. This has been done by analysing and comparing three commodity markets with the Nordic electricity market. Examined commodity markets are LME steel billet, CME lean hogs and WTI & Brent crude oil. The report consists of a literature review with a theoretical background, CATWOE and a case analysis of each commodity market. The markets are thereafter analysed, compared and discussed regarding the research questions.

It is concluded that the Nordic electricity market is in many ways comparable to other commodities, although it has some special characteristics. Key factors determining market success have been identified as (1) correlation between perceived risk and derivative risk, (2) trust for and experience of trading institutions and trading environment and (3) expectations. Based on the findings a new conceptual measure for market liquidity, Relative Market Liquidity, is introduced and discussed. The comparison in this thesis is based on the Nordic electricity market, but much of the results are applicable to other commodity markets.

The thesis has been written during spring 2013 at the Royal Institute of Technology Department of Energy Technology in co-operation with Vattenfall AB.

Place, publisher, year, edition, pages
2013. , 115 p.
Keyword [en]
Nordic electricity, steel billet, lean hogs, crude oil, hedging, future markets, commodities, market structure
National Category
Energy Engineering
Identifiers
URN: urn:nbn:se:kth:diva-129188OAI: oai:DiVA.org:kth-129188DiVA: diva2:650576
External cooperation
Vattenfall
Subject / course
Industrial Economics and Management
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Presentation
2013-05-31, 09:42 (Swedish)
Supervisors
Examiners
Available from: 2013-10-17 Created: 2013-09-23 Last updated: 2013-10-17Bibliographically approved

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Andersson & Nurmos - Nordic electricity hedging: A comparison with other commodity market structures(2488 kB)622 downloads
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CiteExportLink to record
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