Related papers: Multivariate Simulation-based Forecasting for Intr…
In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated resampling to estimate uncertainty of simultaneous…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
The growing importance of intraday electricity trading in Europe calls for improved price forecasting and tailored decision-support tools. In this paper, we propose a novel generative neural network model to generate probabilistic path…
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery…
In this paper, we develop a new approach to the very short-term point forecasting of electricity prices in the continuous market. It is based on the Support Vector Regression with a kernel correction built on additional forecast of…
The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods,…
Accurate short-term electricity price forecasting is crucial for strategically scheduling demand and generation bids in day-ahead markets. While data-driven techniques have shown considerable prowess in achieving high forecast accuracy in…
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.…
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…
The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in…
The rising share of volatile renewable generation increases the demand for flexibility in the electricity grid. Flexible capacity can be offered by industrial energy systems through participation on either the continuous intraday,…
The coordinated operation of interconnected but locally controlled electricity markets is generally referred to as a "coupling". In this paper we propose a new mechanism design for efficient coupling of independent electricity markets. The…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously. This model, based on Poisson measures and inspired…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
In this paper we include dependency structures for electricity price forecasting and forecasting evaluation. We work with off-peak and peak time series from the German-Austrian day-ahead price, hence we analyze bivariate data. We first…
The availability of historical data related to electricity day-ahead prices and to the underlying price formation process is limited. In addition, the electricity market in Europe is facing a rapid transformation, which limits the…
The exponential growth of renewable energy capacity has brought much uncertainty to electricity prices and to electricity generation. To address this challenge, the energy exchanges have been developing further trading possibilities,…
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…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…