Related papers: Understanding electricity prices beyond the merit …
Electricity price forecasting approaches generally fall into two categories: data-driven models, which learn from historical patterns, or fundamental models, which simulate market mechanisms. We propose a novel and highly efficient…
Purpose: Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity…
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…
Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…
An on-going debate in the energy economics and power market community has raised the question if energy-only power markets are increasingly failing due to growing feed-in shares from subsidized renewable energy sources (RES). The short…
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…
Accurate price predictions are essential for market participants in order to optimize their operational schedules and bidding strategies, especially in the current context where electricity prices become more volatile and less predictable…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
Relationships between the energy and the finance markets are increasingly important. Understanding these relationships is vital for policymakers and other stakeholders as the world faces challenges such as satisfying humanity's increasing…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
Electricity markets are highly complex, involving lots of interactions and complex dependencies that make it hard to understand the inner workings of the market and what is driving prices. Econometric methods have been developed for this,…
Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…
Power grids are moving towards 100% renewable energy source bulk power grids, and the overall dynamics of power system operations and electricity markets are changing. The electricity markets are not only dispatching resources economically…
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…
This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also fundamental market data like renewable infeed…
This paper evaluates the impact of the power extent on price in the electricity market. The competitiveness extent of the electricity market during specific times in a day is considered to achieve this. Then, the effect of competitiveness…
We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction…
A stable supply of electrical energy is essential for the functioning of our society. Therefore, the electrical power grid's operation and energy and balancing markets are subject to strict regulations. As the external technical, economic,…
Electricity price forecasting is a critical tool for the efficient operation of power systems and for supporting informed decision-making by market participants. This paper explores a novel methodology aimed at improving the accuracy of…
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which…