Related papers: Efficient representation of supply and demand curv…
We introduce a general, simple, and computationally efficient framework for predicting day-ahead supply and demand merit-order curves, from which both point and probabilistic electricity price forecasts can be derived. We conduct a rigorous…
Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights of market structure models with extensive and modern…
The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous hourly bid curves and combinatorial bids with associated…
The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an increasing uncertainty about future electricity price movements.…
This paper introduces a computationally efficient comparative approach to classical pricing rules for day-ahead electricity markets, namely Convex Hull Pricing, IP Pricing and European-like market rules, in a Power Exchange setting with…
Accurate day-ahead electricity price forecasting is essential for residential welfare, yet current methods often fall short in forecast accuracy. We observe that commonly used time series models struggle to utilize the prior correlation…
The increasing interest in demand-side management (DSM) as part of the energy cost optimization calls for effective methods to determine representative electricity prices for energy optimization and scheduling investigations. We propose a…
In this note, we illustrate the computation of the approximation of the supply curves using a one-step basis. We derive the expression for the L2 approximation and propose a procedure for the selection of nodes of the approximation. We…
In this paper we present a regression based model for day-ahead electricity spot prices. We estimate the considered linear regression model by the lasso estimation method. The lasso approach allows for many possible parameters in the model,…
We present two machine learning frameworks for forecasting aggregated curves and optimizing storage in the EPEX SPOT day-ahead market. First, a fast parametric model forecasts hourly demand and supply curves in a low-dimensional and…
Aggregated curves are common structures in economics and finance, and the most prominent examples are supply and demand curves. In this study, we exploit the fact that all aggregated curves have an intrinsic hierarchical structure, and thus…
In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual market participants. In doing so, the model…
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities suffice, particularly in the Nord Pool…
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…
In this work we propose a heuristic clearing method of day-ahead electricity markets. In the first part of the process, a computationally less demanding problem is solved using an approximation of the cumulative demand and supply curves,…
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…
It is well-known that a market equilibrium with uniform prices often does not exist in non-convex day-ahead electricity auctions. We consider the case of the non-convex, uniform-price Pan-European day-ahead electricity market "PCR" (Price…
In day-ahead electricity markets based on uniform marginal pricing, small variations in the offering and bidding curves may substantially modify the resulting market outcomes. In this work, we deal with the problem of finding the optimal…
Researchers and electricity sector practitioners frequently require the supply curve of electricity markets and the price elasticity of supply for purposes such as price forecasting, policy analyses or market power assessment. It is common…
The article describes the algorithm used to define the electricity price in day-ahead and itraday energy markets in Italy. Details of Matlab implementation of one of its simplified versions, capable of producing good results in a extremely…