• Corpus ID: 253801707

Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution

@inproceedings{Hirsch2022SimulationbasedFF,
  title={Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution},
  author={Simon Hirsch and Florian Ziel},
  year={2022}
}
: 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 price process are still sparsely researched. In this paper, we propose a modelling strategy for the location, shape and scale parameters of the return distribution in intraday markets, based on fundamental variables. We consider wind and solar forecasts… 

References

SHOWING 1-10 OF 70 REFERENCES

Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories

Econometric Analysis of 15-Minute Intraday Electricity Prices

The trading activity in the German intraday electricity market has increased significantly over the last years. This is partially due to an increasing share of renewable energy, wind and

Forecasting the Price Distribution of Continuous Intraday Electricity Trading

The forecasting literature on intraday electricity markets is scarce and restricted to the analysis of volume-weighted average prices. These only admit a highly aggregated representation of the

A Trading-Based Evaluation of Density Forecasts in a Real-Time Electricity Market

This paper applies a multi-factor, stochastic latent moment model to predicting the imbalance volumes in the Austrian zone of the German/Austrian electricity market. This provides a density forecast

An econometric model for intraday electricity trading

This paper develops an econometric price model with fundamental impacts for intraday electricity markets of 15-min contracts. A unique dataset of intradaily updated forecasts of renewable power

Modeling the impact of wind and solar power forecasting errors on intraday electricity prices

  • F. Ziel
  • Engineering, Economics
    2017 14th International Conference on the European Energy Market (EEM)
  • 2017
We present a regression based model for intraday electricity spot prices to analyze the impact of renewable energy forecasting errors. The proposed time series model is suitable to quantify the

The effect of wind and solar power forecasts on day-ahead and intraday electricity prices in Germany

Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market

Intraday electricity trading on the continuous intraday market of EPEX SPOT is particularly well suited for the rebalancing of energy production. We analyzed the volatility and dispersion of

The Impact of Renewable Energy Forecasts on Intraday Electricity Prices

In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves
...