DFG-NCN 2016/23/G/HS4/01005

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), extended to 28.02.2023 (60 months; due to COVID-19)
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

Research team:

Principal Investigators (Kierownicy):

Senior Investigator (Główny wykonawca):

Investigators (Wykonawcy):

Former investigators (Byli wykonawcy):

Collaborators (Współpracownicy):

– 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.

Tasks:

  1. Understanding the fine structure of intraday electricity markets and development of adequate stochastic models for order flow.
  2. Statistical analysis of the relationships between power system fundamentals and intraday trading, and development of techniques for incorporating fundamental data into forecasting models.
  3. Development and validation of forecasting methods tailored for intraday electricity markets.

Publications:

Peer-reviewed articles in JCR-listed journals

2022 (3), 2021 (4), 2020 (6), 2019 (4), 2018 (2)

  1. M. Narajewski (2022) Probabilistic forecasting of German electricity imbalance prices, Energies 15(14), 4976  (doi: 10.3390/en15144976).
  2. M. Narajewski, F. Ziel (2022) Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs, Energy Economics 110, 105974 (doi: 10.1016/j.eneco.2022.105974). Working paper version available from arXiv: https://arxiv.org/abs/2104.14204
  3. T. Serafin, G. Marcjasz, R. Weron (2022) Trading on short-term path forecasts of intraday electricity prices, Energy Economics 112, 106125 (doi: 10.1016/j.eneco.2022.106125). Working paper version available from RePEc: https://ideas.repec.org/p/ahh/wpaper/worms2017.html
  4. C. Kath, F. Ziel (2021) Conformal prediction interval estimation and applications to day-ahead and intraday power markets, International Journal of Forecasting 37(2), 777-799 (doi: 10.1016/j.ijforecast.2020.09.006).
  5. A. Kramer, R. Kiesel (2021) Exogenous factors for order arrivals on the intraday electricity market, Energy Economics 97, 105186  (doi: 10.1016/j.eneco.2021.105186).
  6. K. Maciejowska, W. Nitka T. Weron (2021) Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices, Energy Economics 99, 105273 (doi: 10.1016/j.eneco.2021.105273).
  7. M. Narajewski, J. Kley-Holsteg, F. Ziel (2021) tsrobprep — an R package for robust preprocessing of time series data, SoftwareX 16, 100809 (doi: 10.1016/j.softx.2021.100809)
  8. C. Kath, W. Nitka, T. Serafin, T. Weron, P. Zaleski, R. Weron (2020) Balancing generation from renewable energy sources: Profitability of an energy trader, Energies 13(1), 205 (doi: 10.3390/en13010205). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1907.html
  9. K. Maciejowska, B. Uniejewski, T. Serafin (2020) PCA forecast averaging—Predicting day-ahead and intraday electricity prices, Energies 13(14), 3530 (doi: 10.3390/en13143530).
  10. G. Marcjasz, B. Uniejewski, R. Weron (2020) Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?, International Journal of Forecasting 36(2), 466-479 (doi: 10.1016/j.ijforecast.2019.07.002). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1805.html
  11. G. Marcjasz, B. Uniejewski, R. Weron (2020) Beating the naive – Combining LASSO with naive intraday electricity price forecasts, Energies 13(7), 1667 (doi: 10.3390/en13071667). Working paper version available from RePEc: https://ideas.repec.org/p/ahh/wpaper/worms2001.html
  12. M. Narajewski, F. Ziel (2020) Ensemble forecasting for intraday electricity prices: Simulating trajectories, Applied Energy 279, 115801 (doi: 10.1016/j.apenergy.2020.115801). Working paper version available from arXiv: https://arxiv.org/abs/2005.01365
  13. M. Narajewski, F. Ziel (2020) Econometric modelling and forecasting of intraday electricity prices, Journal of Commodity Markets 19, 100107 (doi: 10.1016/j.jcomm.2019.100107). Working paper version available from arXiv: https://arxiv.org/abs/1812.09081
    Winner of the EEX Excellence Award (2020)
  14. K. Hubicka, G. Marcjasz, R. Weron (2019) A note on averaging day-ahead electricity price forecasts across calibration windows, IEEE Transactions on Sustainable Energy 10(1), 321-323 (doi: 10.1109/TSTE.2018.2869557). Earlier working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1803.html
  15. M. Narajewski, F. Ziel (2019) Estimation and simulation of the transaction arrival process in intraday electricity markets, Energies 12(23), 4518 (doi: 10.3390/en12234518)
  16. T. Serafin, B. Uniejewski, R. Weron (2019) Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting, Energies 12(13), 2561  (doi: 10.3390/en12132561)
  17. B. Uniejewski, G. Marcjasz, R. Weron (2019) Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO, International Journal of Forecasting 35(4), 1533-1547 (doi: 10.1016/j.ijforecast.2019.02.001). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1807.html
    Winner of the International Journal of Forecasting Outstanding Paper in Energy Forecasting Award (2022)
  18.  (*) C. 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)
  19. 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

(*) First version submitted to journal before 1.03.2018.

Edited volumes / special issues / theses

  1. A. Kramer (2022) Random intensity models with an application to intraday electricity markets, PhD Thesis, DuEPublico – University of Duisburg-Essen  (doi: 10.17185/duepublico/77875)
  2. R. Weron, F. Ziel, eds. (2020) Modeling and Forecasting Intraday Electricity Markets, Energies, Special Issue
    Keywords: intraday electricity market, balancing market, continuous trading, auction market, electricity price forecasting, regression models, machine learning, neural networks, fundamental models

Book chapters

  1. R. Weron, F. Ziel (2020) Electricity price forecasting, in “Routledge Handbook of Energy Economics”, eds. U. Soytas, R. Sari, Routledge, 506-521, DOI: 10.4324/9781315459653. Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1808.html

Developed software components

Project team meetings:

  • Wrap-up Meeting (part of the IMMORTAL – CrossFIT – PRIORITY joint meeting), 4.09.2023, Satellite to INREC 2023, 5-6.09.2023, Essen, Germany.
  • 5th IMMORTAL Meeting, 13-15.05.2020, Wrocław, Poland – canceled due to COVID-19.
  • 4th IMMORTAL Meeting, 24.09.2019, Satellite to INREC 2019, 25-26.09.2019, Essen, Germany.
  • 3rd IMMORTAL Meeting, 1-2.04.2019, Cambridge, UK.
  • 2nd IMMORTAL Meeting, 26.09.2018, Satellite to INREC 2018, 24-25.09.2018, Essen, Germany.
  • Kick-off meeting, 9-10.05.2018, Wrocław, Poland.