Estimation and Simulation of the Transaction Arrival Process in Intraday Electricity Markets

Michał Narajewski and Florian Ziel
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Michał Narajewski: House of Energy Markets and Finance, University of Duisburg-Essen, 45141 Essen, Germany
Florian Ziel: House of Energy Markets and Finance, University of Duisburg-Essen, 45141 Essen, Germany

Energies, 2019, vol. 12, issue 23, 1-16

Abstract: We examine the novel problem of the estimation of transaction arrival processes in the intraday electricity markets. We model the inter-arrivals using multiple time-varying parametric densities based on the generalized F distribution estimated by maximum likelihood. We analyse both the in-sample characteristics and the probabilistic forecasting performance. In a rolling window forecasting study, we simulate many trajectories to evaluate the forecasts and gain significant insights into the model fit. The prediction accuracy is evaluated by a functional version of the MAE (mean absolute error), RMSE (root mean squared error) and CRPS (continuous ranked probability score) for the simulated count processes. This paper fills the gap in the literature regarding the intensity estimation of transaction arrivals and is a major contribution to the topic, yet leaves much of the field for further development. The study presented in this paper is conducted based on the German Intraday Continuous electricity market data, but this method can be easily applied to any other continuous intraday electricity market. For the German market, a specific generalized gamma distribution setup explains the overall behaviour significantly best, especially as the tail behaviour of the process is well covered.

Keywords: intraday market; point process; inter-arrival time; trajectory simulation; transaction time; electricity market; probabilistic forecasting; density estimation (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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