Investigating Market Microstructure and shOrt-term pRice forecasTing in intrA-day eLectricity markets (IMMORTAL)
Grant no.: DFG-NCN 2016/23/G/HS4/01005
Funding agencies: German Research Foundation (DFG), Germany & National Science Centre (NCN), Poland
Funding scheme: BEETHOVEN
Funding period: 1.03.2018-28.02.2021 (36 months)
Budget: 768 300 PLN + 239 000 EUR (ca. 1 829 000 PLN in total)
Title in Polish: Badanie mikrostruktury rynku oraz krótkoterminowe prognozowanie cen energii elektrycznej na rynku dnia bieżącego
Principal Investigators (Kierownicy):
Senior Investigator (Główny wykonawca):
- Florian Ziel (Essen, D)
- Anke Kramer (Essen, D)
- Grzegorz Marcjasz (Wrocław, PL)
- Michał Narajewski (Essen, D)
- Bartosz Uniejewski (Wrocław, PL)
- Fred Espen Benth (University of Oslo, N)
- Alvaro Cartea (Oxford University, UK)
- Nikolaus Graf von Luckner (Essen, D)
- Tao Hong (UNCC, Charlotte, USA)
- Katarzyna Maciejowska (PWr, Wrocław, PL)
- Jakub Nowotarski (BNY Mellon, Wrocław, PL)
- Tomasz Serafin (PWr, Wrocław, PL)
- Stefan Trück (MQ, Sydney, AUS)
– Ph.D. / M.Sc. / B.Sc. student
Aims and scope:
The expansion of renewable generation (wind, solar)and active demand side management (smart meters, smart appliances) has increased the importance of short-term electricity markets, which are seen by many market participants as the future of electricity trading. However, the vast majority of research has been in the context of day-ahead auction trading, the workhorse of power trading in Europe to date. This situation calls for:
- understanding the intraday market microstructure with its continuous trading for individual load periods up to a few minutes before delivery and direct influence of power system fundamentals, so different from the uniform price auction day-ahead markets, and
- developing innovative forecasting methods that meet the very specific characteristics of intraday electricity trading.
The main objective of the project is to adequately address these two challenges through an integrated approach composed of three interrelated and developed in parallel tasks.
- Understanding the fine structure of intraday electricity markets and development of adequate stochastic models for order flow.
- Statistical analysis of the relationships between power system fundamentals and intraday trading, and development of techniques for incorporating fundamental data into forecasting models.
- Development and validation of forecasting methods tailored for intraday electricity markets.
Peer-reviewed articles in JCR-listed journals
- K. Hubicka, G. Marcjasz, R. Weron (2018) A note on averaging day-ahead electricity price forecasts across calibration windows, IEEE Transactions on Sustainable Energy (doi: 10.1109/TSTE.2018.2869557). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1803.html
- Ch. Kath, F. Ziel (2018) The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts, Energy Economics 76, 411-423 (doi: 10.1016/j.eneco.2018.10.005)
- G. Marcjasz, T. Serafin, R. Weron (2018) Selection of calibration windows for day-ahead electricity price forecasting, Energies 11(9), 2364 (doi: 10.3390/en11092364). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1806.html
Peer-reviewed articles in non JCR-listed journals
Forthcoming publications, submitted papers and work in progress
- R. Weron, F. Ziel (2018) Forecasting Electricity Prices: A Guide to Robust Modeling (monograph), work in progress.