Modeling and Forecasting
Investigating Market Microstructure and shOrt-term pRice forecasTing in intrA-day eLectricity markets
"IMMORTAL" project is being carried out in collaboration with Prof. Dr. Rüdiger Kiesel (Essen, D), Prof. Dr. Rafał Weron (Wrocław, PL) and Prof. Dr. Florian Ziel, with the German Research Foundation (DFG) and Germany & National Science Center (NCN Poland). Also, in this context, Mr. Michał Narajewski works on the research project.
The importance of short-term electricity markets is increasing due to the expansion of renewable generation (wind, solar) and active demand management (smart meters, smart appliances). The vast majority of research, however, has been in the context of day-ahead auction trading. This development requires above all, the understanding of the intra-day market microstructure with continuous trading for individual charging periods up to few minutes before delivery, as well as direct influence of power system fundamentals. Unlike the uniform price auction day-ahead markets. Moreover, it is important to develop innovative forecasting methods, the very specific characteristics of intraday electricity trading.
The main objective of the project is to tackle these challenges through an integrated approach consisting of three related and parallel tasks:
- Understanding the fine structure of intraday electricity markets and development of adequate stochastic models for order flow.
- Statistical analysis of the relationships between power system fundamentals and intraday trading, and development of techniques for incorporating fundamental data into forecasting models.
- Development and validation of forecasting methods tailored for intraday electricity markets.
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