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Forecasting the intra-day spread densities of electricity prices

Journal

Energies

Subject

Management Science and Operations, Organisational Behaviour

Publishing details

Energies 2020 Vol 13:3 p 687

Authors / Editors

Abramova E;Bunn D

Biographies

Ekaterina Abramova Derek Bunn

Publication Year

2020

Abstract

Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German electricity price spreads between different hours of the day, as revealed in the day-ahead auctions. The four specifications of the density functions are dynamic and conditional upon exogenous drivers, thereby permitting the location, scale and shape parameters of the densities to respond hourly to such factors as weather and demand forecasts. The best fitting and forecasting specifications for each spread are selected based on the Pinball Loss function, following the closed form analytical solutions of the cumulative distribution functions.

Keywords

Electricity; Spreads; Forecasting

Available on ECCH

No


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