A Note on the Normalization of Spanish Electricity Spot Prices

Merit order of renewable generation has produced an increasing, relevant number of zero values in Spanish electricity spot prices since 2010, in contrast with the rest of markets which rarely present zero values. This letter shows that existing methodologies for normalizing the price distribution fail to yield a proper normalization. This letter proposes a new algorithm based on Nataf transformation which addresses this issue and ensures a correct normalization. Numerical results validate the proposed algorithm.