论文标题
基于仿真的预测日内电力市场：建模价格分布的位置，形状和规模的基本驱动因素
Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution
论文作者
论文摘要
在过去的几年中，由于间歇性可再生生成的增加，欧洲盘中电力市场对于平衡预测错误而变得非常重要。但是，与日前的市场相比，盘中价格过程的驱动因素仍经过稀疏研究。在本文中，我们根据基本变量提出了一个在日内市场中回报分布的位置，形状和比例参数的建模策略。我们认为风能和太阳预测及其盘中更新，中断，价格信息以及对绩效曲线的形状的新颖衡量标准，这些措施是从点拍卖曲线作为解释变量得出的。我们通过模拟价格路径并将模型的概率预测性能与基准模型进行比较，在德国市场的预测研究中进行了比较。该方法在预测性能方面有了显着改善，尤其是在分布的尾部。同时，我们能够得出驾驶变量的贡献。我们发现，除了价格变化的第一个滞后外，我们的基本变量都没有任何解释性的能力，可以使日内收益的预期价值。这意味着市场效率较弱，因为可再生预测的变化和中断信息似乎是由市场定价的。我们发现波动率是由绩效制度，交付时间和跨境订单书关闭的驱动的。分布的尾巴主要受过去的价格差异和交易活动的影响。我们的方法可以直接转移到欧洲其他连续的盘中市场。
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 and their intraday updates, outages, price information and a novel measure for the shape of the merit-order, derived from spot auction curves as explanatory variables. We validate our modelling by simulating price paths and compare the probabilistic forecasting performance of our model to benchmark models in a forecasting study for the German market. The approach yields significant improvements in the forecasting performance, especially in the tails of the distribution. At the same time, we are able to derive the contribution of the driving variables. We find that, apart from the first lag of the price changes, none of our fundamental variables have explanatory power for the expected value of the intraday returns. This implies weak-form market efficiency as renewable forecast changes and outage information seems to be priced in by the market. We find that the volatility is driven by the merit-order regime, the time to delivery and the closure of cross-border order books. The tail of the distribution is mainly influenced by past price differences and trading activity. Our approach is directly transferable to other continuous intraday markets in Europe.
