Simulation of day-ahead electricity market prices using a statistically calibrated structural model

被引：2

作者：

Mahler, Valentin ^{[1
,2
]}

Girard, Robin ^{[1
]}

Billeau, Sebastien ^{[1
]}

Kariniotakis, Georges ^{[1
]}

机构：

[1] PSL Univ, MINES ParisTech, PERSEE Ctr Proc Renewable Energies & Energy Syst, CS 10207 Rue Claude Daunesse, F-06904 Sophia Antipolis, France

[2] ADEME Agence Environm & Maitrise Energie, 20 Ave Gresille,BP 90406, F-49004 Angers 01, France

来源：

2019 16TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2019年

关键词：

day-ahead markets; electricity prices; statistical learning; structural model;

D O I：

10.1109/eem.2019.8916273

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

Anticipating electricity prices on the day-ahead market has become a key issue for both risk assessment and revenue optimization. In this paper, we propose to generate time series of prices with an hourly resolution using a structural model that simulates a simplified market clearing process. The aggregated supply curves in this model are composed of orders based on the available capacity of generation units. The ask prices are parametrized, and the calibration is performed by applying statistical learning to historical market and power system data. To reflect the strategic behavior of market participants, these prices depend on the scarcity of power at the national level. The model's performance is assessed based on the case of France with a one-year horizon and data from 2013-2015. This approach illustrates how open data on the electric power system enable links to be drawn between technical constraints and price formation.

引用

页数：5

共 50 条

[1] Probabilistic Forecasting of Day-ahead Electricity Prices for the Iberian Electricity Market
Moreira, Rui
Bessa, Ricardo
Gama, Joao
[J]. 2016 13TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM), 2016,
[2] Models proposal for the day-ahead electricity prices in the US electricity market
Culik, Miroslav
Valecky, Jiri
[J]. PROCEEDINGS OF THE 25TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2007, 2007, : 53 - 62
[3] Using ARMAX-EGARCH Model to Forecast Day-ahead Electricity Prices for PJM Market
Wang, Ruiqing
Cheng, Weijun
[J]. PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE OF MANAGEMENT SCIENCE AND INFORMATION SYSTEM, VOLS 1-4, 2009, : 1140 - 1144
[4] Forecasting Day-ahead Electricity Prices with A SARIMAX Model
McHugh, Catherine
Coleman, Sonya
Kerr, Dermot
McGlynn, Daniel
[J]. 2019 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (IEEE SSCI 2019), 2019, : 1523 - 1529
[5] Forecasting day-ahead electricity prices using a new integrated model
Zhang, Jin-Liang
Zhang, Yue-Jun
Li, De-Zhi
Tan, Zhong-Fu
Ji, Jian-Fei
[J]. INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS, 2019, 105 : 541 - 548
[6] Electricity market prices for day-ahead ancillary services and energy: Texas
Zarnikau, J.
Woo, C. K.
Zhu, S.
Baldick, R.
Tsai, C. H.
Meng, J.
[J]. JOURNAL OF ENERGY MARKETS, 2019, 12 (01) : 43 - 74
[7] Classification of Day-Ahead Deregulated Electricity Market Prices Using DCT-CFNN
Anbazhagan, S.
Kumarappan, Narayanan
[J]. SWARM, EVOLUTIONARY, AND MEMETIC COMPUTING, PT II (SEMCCO 2013), 2013, 8298 : 499 - 510
[8] Binary Classification of Day-Ahead Deregulated Electricity Market Prices Using Neural Networks
Anbazhagan, S.
Kumarappan, N.
[J]. 2012 IEEE FIFTH POWER INDIA CONFERENCE, 2012,
[9] Day-Ahead Model of the Liberalized Electricity Market in Slovakia
Janicek, Frantisek
Sedivy, Juraj
Sulc, Igor
[J]. PROCEEDINGS OF THE 13TH INTERNATIONAL SCIENTIFIC CONFERENCE ELECTRIC POWER ENGINEERING 2012, VOLS 1 AND 2, 2012, : 263 - 268
[10] European day-ahead electricity market clearing model
Chatzigiannis, Dimitris I.
Dourbois, Grigoris A.
Biskas, Pandelis N.
Bakirtzis, Anastasios G.
[J]. ELECTRIC POWER SYSTEMS RESEARCH, 2016, 140 : 225 - 239

← 1 2 3 4 5 →