Simulation of day-ahead electricity market prices using a statistically calibrated structural model

Abstract : Anticipating electricity prices on the day-ahead market has become a key issue for both risk assessment and revenue optimization. In this paper, we propose to generate time series of prices with an hourly resolution using a structural model that simulates a simplified market clearing process. The aggregated supply curves in this model are composed of orders based on the available capacity of generation units. The ask prices are parametrized, and the calibration is performed by applying statistical learning to historical market and power system data. To reflect the strategic behavior of market participants, these prices depend on the scarcity of power at the national level. The model's performance is assessed based on the case of France with a one-year horizon and data from 2013-2015. This approach illustrates how open data on the electric power system enable links to be drawn between technical constraints and price formation.
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Submitted on : Wednesday, November 6, 2019 - 3:52:54 PM
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Valentin Mahler, Robin Girard, Sébastien Billeau, Georges Kariniotakis. Simulation of day-ahead electricity market prices using a statistically calibrated structural model. 16th European Energy Market Conference (EEM 2019), IEEE PES, Sep 2019, Ljubljana, Slovenia. ⟨hal-02351932⟩

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