Deregulated Day-Ahead Electricity Markets in Southeast Europe: Price Forecasting and Comparative Structural Analysis

Abstract

Many Southeast European countries are currently undergoing a process of liberalization of electric power markets. The paper analyses day-ahead price dynamics on some of these new markets and in Germany as a benchmark of a completely decentralized Western European market. To that end, several price forecasting methods including autoregressive approaches, multiple linear regression, and neural networks are considered. These methods are tested on hourly day-ahead price data during four two-week periods corresponding to different seasons and varying levels of volatility in all selected markets. The most influential fundamental factors are determined and performance of forecasting techniques is analysed with respect to the age of the market, its degree of liberalization, and the level of volatility. A comparison of Southeast European electricity markets of different age with the older German market is made and clusters of similar Southeast European markets are identified.

Electricity Price Forecasting Using Recurrent Neural Networks

“…Establishment of two nuclear plants in the next five years, inclusion of the solar energy into system in near future and expiration of the subsidies for the wind power plants in two years will change the dynamics of the Turkish market as well. Therefore, further research in Turkish market and in the emerging economies, such as Southeast Europe markets [78] is also required.…”

The Financial Effect of the Electricity Price Forecasts’ Inaccuracy on a Hydro-Based Generation Company

“…Although there are some works [5,[30][31][32] on electricity price forecasting in the Turkish electricity market, the financial effect of electricity price forecasts' inaccuracy has not been investigated. Due to the nature of the Turkish market, with many zeros similar to the Spanish market [33], and an increasing renewable share similar to the German market [13], the Turkish market needs investigation, and can give some insight about the other Southeast Europe markets [34] in addition to Spanish and German markets. The Turkish market is an emerging market with very specific features as discussed in [32,35,36].…”