Related papers: Probabilistic Mid- and Long-Term Electricity Price…
As variable renewable energy increases and more demand is electrified, we expect price formation in wholesale electricity markets to transition from being dominated by fossil fuel generators to being dominated by the opportunity costs of…
Electricity is bought and sold in wholesale markets at prices that fluctuate significantly. Short-term forecasting of electricity prices is an important endeavor because it helps electric utilities control risk and because it influences…
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we…
Energy system models for long-term planning are widely used to explore the future electricity system. Typically, to represent the future electricity demand in these models, historical demand profiles are used directly or scaled up linearly.…
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
This paper introduces a novel Bayesian reverse unrestricted mixed-frequency model applied to a panel of nine European electricity markets. Our model analyzes the impact of daily fossil fuel prices and hourly renewable energy generation on…
In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves data and errors in wind and solar power…
Virtual bidding plays an important role in two-settlement electric power markets, as it can reduce discrepancies between day-ahead and real-time markets. Renewable energy penetration increases volatility in electricity prices, making…
The South Australia region of the Australian National Electricity Market (NEM) displays some of the highest levels of price volatility observed in modern electricity markets. This paper outlines an approach to probabilistic forecasting…
Recent research finds that forecasting electricity prices is very relevant. In many applications, it might be interesting to predict daily electricity prices by using their own lags or renewable energy sources. However, the recent turmoil…
Intraday electricity markets play an increasingly important role in balancing the intermittent generation of renewable energy resources, which creates a need for accurate probabilistic price forecasts. However, research to date has focused…
In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
In this paper, we formulate a method for minimising the expectation value of the procurement cost of electricity in two popular spot markets: {\it day-ahead} and {\it intra-day}, under the assumption that expectation value of unit prices…
The participation of consumers and producers in demand response programs has increased in smart grids, which reduces investment and operation costs of power systems. Also, with the advent of renewable energy sources, the electricity market…
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits…
The integration of renewable energy into electricity markets poses significant challenges to price stability and increases the complexity of market operations. Accurate and reliable electricity price forecasting is crucial for effective…
Probabilistic price forecasting has recently gained attention in power trading because decisions based on such predictions can yield significantly higher profits than those made with point forecasts alone. At the same time, methods are…