Related papers: Ensemble Forecasting for Intraday Electricity Pric…
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…
Electricity price signals in modern power systems exhibit complex dependence structures that render forecasting inherently challenging. Our analysis of real-world pricing signals from the California Independent System Operator (CAISO)…
How does dynamic price information flow among Northern European electricity spot prices and prices of major electricity generation fuel sources? We use time series models combined with new advances in causal inference to answer these…
Probabilistic electricity price forecasting (PEPF) is vital for short-term electricity markets, yet the multivariate nature of day-ahead prices - spanning 24 consecutive hours - remains underexplored. At the same time, real-time…
We introduce the concept of temporal hierarchy forecasting (THieF) in predicting day-ahead electricity prices and show that reconciling forecasts for hourly products and 2- to 24-hour blocks can significantly (up to 13%) improve accuracy at…
The intraday (ID) electricity market has received an increasing attention in the recent EU electricity-market discussions. This is partly because the uncertainty in the underlying power system is growing and the ID market provides an…
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process…
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity,…
In this paper, the intra-day multi-interval rolling-window joint dispatch and pricing of energy and reserve is studied under increasing volatile and uncertain renewable generations. A look-ahead energy-reserve co-optimization model is…
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
Operational decisions relying on predictive distributions of electricity prices can result in significantly higher profits compared to those based solely on point forecasts. However, the majority of models developed in both academic and…
Accurate mid-term (weeks to one year) hourly electricity load forecasts are essential for strategic decision-making in power plant operation, ensuring supply security and grid stability, planning and building energy storage systems, and…
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…
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…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
Accurate probabilistic forecasting of intraday electricity prices is critical for market participants to inform trading decisions. Existing studies rely on specific domain features, such as Volume-Weighted Average Price (VWAP) and the last…
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an…
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…
Accurate intraday forecasts are essential for power system operations, complementing day-ahead forecasts that gradually lose relevance as new information becomes available. This paper introduces a Bayesian updating mechanism that converts…