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An Electricity Price Modeling Framework for Renewable-Dominant Markets

Hain, Martin; Schermeyer, Hans; Uhrig-Homburg, Marliese; Fichtner, Wolf

Renewables introduce new weather-induced patterns and risks for market participants active in the energy commodity sector. We present a flexible framework for power spot prices that is capable of incorporating a weather model for the joint distribution of local weather conditions. This not only allows us to make use of a long history of local weather data in the calibration procedure but also makes it possible to assess how changes in the renewable generation portfolio impact the characteristics of future wholesale spot prices. Empirical tests demonstrate the model's capability to reproduce salient features of market variables. We furthermore show why our model offers unique benefits for market players compared to existing approaches.

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Volltext §
DOI: 10.5445/IR/1000071235
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Industriebetriebslehre und Industrielle Produktion (IIP)
Publikationstyp Forschungsbericht/Preprint
Publikationsjahr 2017
Sprache Englisch
Identifikator ISSN: 2196-7296
KITopen-ID: 1000071235
HGF-Programm 37.06.01 (POF III, LK 01)
Networks and Storage Integration
Verlag KIT, Karlsruhe
Umfang 67 S.
Serie Working Paper Series in Production and Energy ; 23
KIT – Die Forschungsuniversität in der Helmholtz-Gemeinschaft
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