Short-term forecasting of intraday electricity prices
Grant no.: NCN 2019/34/E/HS4/00060
Funding agency: National Science Centre (NCN), Poland
Funding scheme: SONATA BIS
Funding period: 1.07.2020-30.06.2025 (60 months)
Budget: 1 542 000 PLN
Title in Polish: Krótkookresowe prognozowanie cen energii elektrycznej na rynku dnia bieżącego
Principal Investigator (Kierownik):
– Ph.D. / M.Sc. / B.Sc. student
Aims and scope:
In the last three decades, electricity markets have undergone significant structural changes. Nowadays, the majority of short-term trading is conducted in the day-ahead markets, where the price setting typically takes place 12-36 hours before the delivery. In order to allow for adjustments of the trading position due to unplanned events, e.g., changes in generation from renewable energy sources (RES) or outages, day-ahead markets have been complemented by intraday and balancing markets. The intraday markets take the form of auctions (e.g., in Spain) or continuous trading (e.g., in Germany) and allow to trade electricity up to a few minutes before the physical delivery. The final balancing of the demand and supply is achieved via balancing markets, which are controlled by system operators and aim at securing the system stability. The main goal of the project is to develop and evaluate forecasting methods suitable for short-term forecasting of intraday electricity prices. Such predictions, from a few hours to a few days ahead, play a decisive role in the trading strategies of the utilities and RES generators.
- Identification of factors having a significant impact on the accuracy of day-ahead forecasts of intraday electricity prices, with a particular focus on RES generation.
- Development and evaluation of econometric models suitable for point and probabilistic forecasts of intraday electricity prices.
- Investigation and development of forecast averaging approaches for point and probabilistic predictions of intraday electricity prices.
- Development of economic measures suitable for evaluation of day-ahead electricity forecasts.
Peer-reviewed articles in JCR-listed journals
2020 (1+), 2020 (0)
- 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).
Peer-reviewed articles in non JCR-listed journals
Forthcoming publications, submitted papers and work in progress