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The evolution of electricity price on the German day-ahead market before and after the energy switch

Abdolrahman Khoshrou, André B. Dorsman and Eric J. Pauwels

Renewable Energy, 2019, vol. 134, issue C, 1-13

Abstract: Germany is a forerunner in developing renewable energies. It is therefore of considerable interest to investigate the impact of switch to renewables on the market during transition era. The aim of this study is in two parts: 1) Investigating the volatility; and 2) Conducting a descriptive study on the evolution of daily profiles and emergence of non-positive prices. In terms of volatility quantification, the following characteristics of EPEX prices should be recognized: 1) Covering the whole year (24/7); 2) Taking non-positive values; 3) Depending on calendar information; and 4) Changing according to demand and supply availability. We, therefore, propose a robust and generic approach to account for diurnal or seasonal patterns of human activities in volatility analysis. An important distinction of our work is in introducing an alternative representation (as matrices) for quasi-periodic price data. We, herein, propose a new notion of volatility using a matrix decomposition technique, namely the singular value decomposition (SVD). Our observations indicate price volatility reduction, in the recent years. The second part of this article provides evidences of effect of renewables on daily price profiles – emergence of non-positive prices and also shifts of peak price values to hours where solar is less available.

Keywords: electricity network; Day-ahead price; Renewable energy; Volatility; Energy switch; Singular value decomposition (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.renene.2018.10.101

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