Forecasting the Intra-Day Spread Densities of Electricity Prices

Ekaterina Abramova and Derek Bunn

Papers from arXiv.org

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.

Date: 2020-02
New Economics Papers: this item is included in nep-ene, nep-for and nep-reg
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Citations: View citations in EconPapers (10)

Published in Energies 2020, 13(3), 687

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2002.10566

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