?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F279%2F&rft.title=Diagnostic+testing+for+earnings+simulation+engines+in+the+Australian+electricity+market&rft.creator=Chiarella%2C+Carl&rft.creator=Svec%2C+Jiri&rft.creator=Stevenson%2C+Max&rft.subject=Energy+and+utilities&rft.subject=Retail&rft.subject=Finance&rft.description=This+study+has+endeavoured+to+propose+and+implement+a+series+of+diagnostic+tests+to+determine+the+appropriateness+of+electricity+simulation+engines+(ESEs)+for+generating+electricity+load+and+price+paths+to+be+used+as+input+in+the+determination+of+a+retailer%E2%80%99s+earnings+distribution+and+the+assessment+of+earnings-at-risk+(EaR)+measures.+Additional+diagnostic+measures+require+development+before+a+routine+can+be+developed+whereby+a+complete+diagnostic+report+can+be+generated+as+output+using+simulated+and+historical+data+as+input.+This+work+includes%3A%0D%0A(1)+Further+partitioning+of+output+load+and+prices+from+an+ESE+into+off-peak%2C+peak+and+weekend+periods+to+determine+the+subsequent+effect+on+earnings.%0D%0A(2)+The+diagnosis+of+simulated+load+paths.+As+simulated+load+was+not+supplied+for+all+engines%2C+the+diagnostics+developed+in+this+report+did+not+include+an+analysis+of+load.%0D%0A(3)+The+building+of+a+response+surface+to+capture+the+interaction+between+temperature%2C+load+and+price.%0D%0A(4)+Examination+of+the+convergence+behaviour+of+an+ESE.+Convergence+in+this+context+means+the+determination+of+the+minimum+number+of+load+and+price+paths+required+from+a+simulator+in+order+to+return+expected+profiles+that+conform+to+industry+expectations.+This+would+involve+the+sequential+testing+of+an+increasing+number+of+simulated+paths+from+an+ESE+in+order+to+determine+the+number+required.%0D%0A%0D%0AIn+conclusion%2C+it+is+important+to+understand+that+each+of+the+simulators+that+were+diagnosed+in+this+study+were+criticised+according+to+industry+expectations%2C+and+to+the+degree+that+the+diagnostics+employed+here+reflect+those+expectations.+In+fact%2C+all+simulators+will+attract+criticism+given+that+they+are+calibrated+on+historical+data+and+are+expected+to+generate+future+prices+for+market+conditions+that+are+unknown.+The+mark+of+an+appropriate+ESE+is+that+the+future+load+and+pricing+structure+it+generates+is+not+too+much+at+variance+with+industry+expectations.+A+critical+function+of+a+simulator+is+for+it+not+to+overestimate+or+underestimate+load+and+prices+such+that+the+risk+metrics+used+to+govern+earnings+risk+faced+by+an+electricity+retailer+are+compromised+to+the+extent+that+their+book+is+either+grossly+over-hedged+or+under-hedged.&rft.date=2009&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F279%2F1%2Fintegralmisg2009.pdf&rft.identifier=++Chiarella%2C+Carl+and+Svec%2C+Jiri+and+Stevenson%2C+Max++(2009)+Diagnostic+testing+for+earnings+simulation+engines+in+the+Australian+electricity+market.++%5BStudy+Group+Report%5D+++++