Price Sensitivity of Hourly Day-ahead and Quarter-hourly Intraday Auctions in Germany

Change of persistence in European electricity spot prices

“…In Europe, electricity prices generally follow the residual load and thus show a pronounced daily pattern: Electricity is consistently cheaper during the night and more expensive during the day. [10]. However, our analysis shows that price time series paint a far more complex picture of what happens in the markets.…”

“…These markets are particularly important for the integration of non-dispatchable renewable power sources as they allow them to participate in the markets and make short-term adjustments [8,9]. Solar energy, for instance, if not aided with storage technologies, can only provide power during the day and generation may differ considerably from day-ahead forecasts [10,11]. Nondispatchable power suppliers rely comparatively more (or entirely) on the ability to sell their power at an attractive price on the spot markets than long-term producers like fossil fuel and nuclear energy producers, which may rely on over-the-counter futures [3].…”

MFDFA: Efficient Multifractal Detrended Fluctuation Analysis in Python

“…We know that the 15 minute trading electricity market amounts to a small volume of the overall exchange electricity sold, thus this market serves only electricity producers which can either extract or inject power from the power-grid system in a very fast manner (< 15 minutes) [76,77]. This will lead us to explore to separate scaling phenomena in the data: A short and a long timescale of market activities.…”

Change of Persistence in European Electricity Spot Prices

“…These markets are particularly important for the integration of non-dispatchable renewable power sources as they allow them to participate in the markets and make short-term adjustments [8,9]. Solar energy, for instance, if not aided with storage technologies, can only provide power during the day and generation may differ considerably from day-ahead forecasts [10,11]. Non-dispatchable power suppliers rely comparatively more (or entirely) on the ability to sell their power at an attractive price on the spot markets than long-term producers like fossil fuel and nuclear energy producers, which may rely on over-the-counter futures [3].…”

“…Electricity price dynamics shows complex behaviour, including extreme peaks, jumps, and negative values as well as persistence and long-range dependence, observed especially in the 15-min spot market prices [10,28,29]. Negative electricity prices -that emerge from an inflexible power generation and low demand -have been increasing steadily in frequency and duration in the last 15 years [30].…”