Related papers: The fine structure of electricity price volatility
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…
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…
The large variability of renewable power sources is a central challenge in the transition to a sustainable energy system. Electricity markets are central for the coordination of electric power generation. These markets rely evermore on…
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…
In Europe, Germany is taking the lead in the switch from the conventional to renewable energy. This poses new challenges as wind and solar energy are fundamentally intermittent, weather-dependent and less predictable. It is therefore of…
This paper undertakes a comprehensive investigation of electricity price forecasting methods, focused on the Irish Integrated Single Electricity Market, particularly on changes during recent periods of high volatility. The primary objective…
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…
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…
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,…
This study analyses the current viability of this business based on a sample of European countries in the year 2019; countries where electricity prices (day-ahead market) and financial conditions show a certain degree of heterogeneity. We…
Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…
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…
Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian…
Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…
Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German…
The European day-ahead electricity market is split into multiple bidding zones with a uniform price. The increase in renewables leads to a growing number of interventions in the generation of energy sources and increasing redispatch costs.…
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.…
We propose a novel machine learning approach for probabilistic forecasting of hourly day-ahead electricity prices. In contrast with the recent advances in data-rich probabilistic forecasting, which approximates distributions with few…
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…
In wholesale electricity markets, prices fluctuate widely from hour to hour and electricity generators price-hedge their output using longer-term contracts, such as monthly base futures. Consequently, the incentives they face to drive up…