Janke, Tim ; Steinke, Florian (2019)
Forecasting the Price Distribution of Continuous Intraday Electricity Trading.
In: Energies, 12 (22)
doi: 10.3390/en12224262
Artikel, Bibliographie
Dies ist die neueste Version dieses Eintrags.
Kurzbeschreibung (Abstract)
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 market. Instead, we propose to forecast the entire volume-weighted price distribution. We approximate this distribution in a non-parametric way using a dense grid of quantiles. We conduct a forecasting study on data from the German intraday market and aim to forecast the quantiles for the last three hours before delivery. We compare the performance of several linear regression models and an ensemble of neural networks to several well designed naive benchmarks. The forecasts only improve marginally over the naive benchmarks for the central quantiles of the distribution which is in line with the latest empirical results in the literature. However, we are able to significantly outperform all benchmarks for the tails of the price distribution.
| Typ des Eintrags: | Artikel |
|---|---|
| Erschienen: | 2019 |
| Autor(en): | Janke, Tim ; Steinke, Florian |
| Art des Eintrags: | Bibliographie |
| Titel: | Forecasting the Price Distribution of Continuous Intraday Electricity Trading |
| Sprache: | Englisch |
| Publikationsjahr: | 8 November 2019 |
| Verlag: | MDPI |
| Titel der Zeitschrift, Zeitung oder Schriftenreihe: | Energies |
| Jahrgang/Volume einer Zeitschrift: | 12 |
| (Heft-)Nummer: | 22 |
| DOI: | 10.3390/en12224262 |
| Zugehörige Links: | |
| Kurzbeschreibung (Abstract): | 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 market. Instead, we propose to forecast the entire volume-weighted price distribution. We approximate this distribution in a non-parametric way using a dense grid of quantiles. We conduct a forecasting study on data from the German intraday market and aim to forecast the quantiles for the last three hours before delivery. We compare the performance of several linear regression models and an ensemble of neural networks to several well designed naive benchmarks. The forecasts only improve marginally over the naive benchmarks for the central quantiles of the distribution which is in line with the latest empirical results in the literature. However, we are able to significantly outperform all benchmarks for the tails of the price distribution. |
| Freie Schlagworte: | electricity price forecasting, intraday markets, lasso regression, neural networks |
| Zusätzliche Informationen: | This article belongs to the Special Issue Modeling and Forecasting Intraday Electricity Markets |
| Fachbereich(e)/-gebiet(e): | 18 Fachbereich Elektrotechnik und Informationstechnik 18 Fachbereich Elektrotechnik und Informationstechnik > Institut für Datentechnik > Energieinformationsnetze und Systeme (EINS) 18 Fachbereich Elektrotechnik und Informationstechnik > Institut für Datentechnik |
| Hinterlegungsdatum: | 13 Nov 2019 14:29 |
| Letzte Änderung: | 12 Mär 2024 10:16 |
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| Suche nach Titel in: | TUfind oder in Google |
Verfügbare Versionen dieses Eintrags
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Forecasting the Price Distribution of Continuous Intraday Electricity Trading. (deposited 04 Dez 2023 10:23)
- Forecasting the Price Distribution of Continuous Intraday Electricity Trading. (deposited 13 Nov 2019 14:29) [Gegenwärtig angezeigt]
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