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)
- Michał Narajewski (Essen, D)
- Tomasz Serafin (Wrocław, PL)
- Tomasz Weron (Wrocław, PL)
Former investigators (Byli wykonawcy):
- 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)
- 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
2020 (5+), 2019 (4), 2018 (2)
- 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
- 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).
- 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
- 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
- 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
- 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
- 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)
- 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)
- 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
- 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)
- 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
Edited volumes / special issues
- 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
- 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
Forthcoming publications, submitted papers and work in progress
- M. Narajewski, F. Ziel (2020) Ensemble forecasting for intraday electricity prices: Simulating trajectories, Applied Energy, forthcoming. Working paper version available from arXiv: https://arxiv.org/abs/2005.01365
- T. Serafin, G. Marcjasz, R. Weron (2020) Trading on short-term path forecasts of the German intraday electricity prices, work in progress.
- R. Weron, F. Ziel (2020) Forecasting Electricity Prices: A Guide to Robust Modeling (monograph), work in progress.
Project team meetings:
- 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.