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Long-term modelling of electricity market prices to examine prospective revenues of storage agents

Klein, Martin and Schimeczek, Christoph (2018) Long-term modelling of electricity market prices to examine prospective revenues of storage agents. INREC 2018, 24.-25. September 2018, Essen.

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Abstract

Long-term modelling of electricity market prices remains a challenging task. Fundamental models can readily account for the drivers of mean electricity price level movements, but often fail to capture essential short-term price curve characteristics like high volatility and negative prices. Without such level of detail for the modelled prices, conclusions about the profitability of storage operations from an actor's perspective are hard to obtain. Here, we present a hybrid fundamental-econometric approach capable of reproducing both the short-term stylized facts and the long-term overall levels of day-ahead wholesale market prices obtained at the EEX with a high degree of accuracy, including a low mean average error, the reproduction of negative prices and a high volatility.

Item URL in elib:https://elib.dlr.de/124397/
Document Type:Conference or Workshop Item (Speech)
Title:Long-term modelling of electricity market prices to examine prospective revenues of storage agents
Authors:
AuthorsInstitution or Email of AuthorsAuthors ORCID iD
Klein, MartinM.Klein (at) dlr.dehttps://orcid.org/0000-0001-7283-4707
Schimeczek, ChristophChristoph.Schimeczek (at) dlr.dehttps://orcid.org/0000-0002-0791-9365
Date:25 September 2018
Refereed publication:Yes
Open Access:Yes
Gold Open Access:No
In SCOPUS:No
In ISI Web of Science:No
Status:Published
Keywords:electricity price modelling, storage dispatch, agent-based modelling
Event Title:INREC 2018
Event Location:Essen
Event Type:international Conference
Event Dates:24.-25. September 2018
Organizer:House of Energy Markets and Finance
HGF - Research field:Energy
HGF - Program:Technology, Innovation and Society
HGF - Program Themes:Renewable Energy and Material Resources for Sustainable Futures - Integrating at Different Scales
DLR - Research area:Energy
DLR - Program:E SY - Energy Systems Analysis
DLR - Research theme (Project):E - Systems Analysis and Technology Assessment
Location: Stuttgart
Institutes and Institutions:Institute of Engineering Thermodynamics > Systems Analysis and Technology Assessment
Deposited By: Schimeczek, Christoph
Deposited On:18 Dec 2018 15:22
Last Modified:31 Jul 2019 20:22

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