The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts

By Christopher Kath, Florian Ziel. Energy Economics, 2018

77 citations recorded by the source corpus.

We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction prices have not been studied intensively with a clear focus on predictive power. Besides electricity price forecasting, we check for the impact of early day-ahead (DA) EXAA prices on intraday forecasts. Another novelty of this paper is the complementary discussion of economic benefits. A precise estimation is worthless if it cannot be utilized. We elaborate possible trading decisions based upon our forecasting scheme and analyze their monetary effects. We find that even simple electricity trading strategies can lead to substantial economic impact if combined with a decent forecasting technique.

Subfields: Electrical and Electronic Engineering, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/993d87d2bbc37db2ce434caadf66d54a33e2dd85

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Electrical and Electronic Engineering

1. Rafal Weron
2. Tao Hong
3. H. Zareipour
4. Pierre Pinson
5. Dazhi Yang
6. Yi Wang
7. Florian Ziel
8. Jakub Nowotarski

In Renewable Energy, Sustainability and the Environment

1. Pierre Pinson
2. Dazhi Yang
3. Tao Hong
4. Rafal Weron

Citations in the corpus

• Energy Forecasting: A Review and Outlook (2020, methodology): “Attempts at tackling this issue include proposing simple bidding strategies based on a comparison of the actual prices and their forecasts [114], [115] or using measures popular in financial portfolio analysis, like the Sharpe ratio [116], [117].”