Average prices are popularly used in the literature on price modeling. Calculating daily or weekly prices as an average over hourly or half-hourly trading periods assumes the same weight ignoring demand or traded volumes during those periods. Analyzing demand weighted average prices is important if producers may affect prices by decreasing them during low-demand periods and increasing them during high-demand periods within a day. The prediction of this price manipulation might have motivated the regulatory authority to introduce price caps not only on annual average prices but also on annual demand weighted average prices in the England and Wales wholesale electricity market. The dynamics of demand weighted average prices of electricity has been analyzed little in the literature. We show that skew generalized error distribution (SGED) is the appropriate assumption for model residuals. The estimated volatility model is used for evaluating the impact of regulatory reforms on demand weighted average prices during the complete history of the England and Wales wholesale electricity market.

中文翻译：

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监管改革对需求加权平均价格的影响

在有关价格建模的文献中，均使用了平均价格。每小时或半小时交易时段的平均每日或每周价格的计算假设权重相同，而忽略了这些时段内的需求或交易量。如果生产者可能通过在一天之内在需求不足的时期降低价格并在需求旺盛的时期提高价格来影响价格，那么分析需求加权平均价格就很重要。价格操纵的预言可能促使监管机构对英格兰和威尔士电力批发市场的年度平均价格以及年度需求加权平均价格实行价格上限。需求加权平均电价的动态在文献中很少进行分析。我们表明，偏斜广义误差分布（SGED）是模型残差的适当假设。估计的波动率模型用于评估英格兰和威尔士电力批发市场完整历史期间监管改革对需求加权平均价格的影响。