Econometric analysis of 15-minute intraday electricity prices

Abstract

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 photovoltaic, which requires power generators to balance out the forecasting errors in their production. We investigate the bidding behaviour in the intraday market by looking at both last prices and continuous bidding, in the context of a fundamental model. A unique data set of 15-minute intraday prices and intraday-updated forecasts of wind and photovoltaic has been employed and price bids are modelled by prior information on fundamentals. We show that intraday prices adjust asymmetrically to both forecasting errors in renewables and to the volume of trades dependent on the threshold variable demand quote, which reflects the expected demand covered by the planned traditional capacity in the day-ahead market. The location of the threshold can be used by market participants to adjust their bids accordingly, given the latest updates in the wind and photovoltaic forecasting errors and the forecasts of the control area balances.

Econometric modelling and forecasting of intraday electricity prices

“…Let us note that Figure 6a is smoother than Figure 6b. The latter one exhibits a socalled jigsaw pattern, which is broadly explained by Kiesel and Paraschiv (2017). Based on these plots, it is obvious that the ID 3 price for hourly products is less volatile.…”

“…Ziel (2017), Pape et al (2016) or González-Aparicio and Zucker (2015) investigate the impact of fundamental regressors on the formation of intraday prices. On the other hand, Kiesel and Paraschiv (2017) or Aïd et al (2016) focus their research on bidding behaviour in the intraday market.…”

Energy management system for smart grid: An overview and key issues

“…Only it is found by plotting supply bid on the supply curve, and demand bids on the demand curve, the intersection of both are known as MCP. Intraday electricity market concepts accepted by market players due to increasing penetration of renewable energy such as PV and wind, which require operators to balance the forecasting error production . After direct deregulation marketing of RES is allowed in power exchange.…”

“…Intraday electricity market concepts accepted by market players due to increasing penetration of renewable energy such as PV and wind, which require operators to balance the forecasting error production. 182 After direct deregulation marketing of RES is allowed in power exchange. Usually, TSO has to trade electricity generated by RES a day ahead, it is done in time horizon up to 36 hour, so it allows the correction in forecasted errors.…”

The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts

“…We aim to keep the model simple and easily reproducible and only consider the most common publicly available external parameters like the quarter-hourly ENTSO-E load forecast (e.g. used in Kiesel & Paraschiv (2017)) up cause the grid load to quickly increase, whereas its level is more likely to be stable around noon. We embrace these effects for wind power production and load by regarding not only the load or wind infeed forecast for a specific hour but also the forecast from one hour previous.…”