The electricity price duration curve under Bertrand and Cournot models

In this paper we consider the problem of constructing a price duration curve based on systems data using a probability model This curve shows the proportion of time over a given time horizon during which the real time market price of electricity is expected to exceed specified dollar amounts. The price over a long term is a stochastic quantity that depends on physical factors such as production cost, load, generation availability, unit commitment, and transmission constraints. It also depends on economic factors such as strategic bidding and load elasticity. We illustrate a procedure for constructing a stochastic system- based model for the price duration curve taking into account some of these factors for two commonly used economic models