Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981963
A. Ciarreta, P. Muniain, A. Zarraga
This paper uses high-frequency intraday electricity prices from the EPEX market to estimate and forecast realised volatility. Variation is broken down into jump and continuous components using quadratic variation theory. Then several heterogeneous autoregressive models are estimated for the logarithmic and standard deviation transformations. GARCH structures are included in the error terms of the models when evidence of conditional heteroscedasticity is found. Model selection is based on various out-of-sample criteria. Under the logarithmic transformation the simplest model outperforms the rest. Under the standard deviation transformation, jump detection before model estimation is useful to improve forecasting.
{"title":"Forecasting volatility in the EPEX market","authors":"A. Ciarreta, P. Muniain, A. Zarraga","doi":"10.1109/EEM.2017.7981963","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981963","url":null,"abstract":"This paper uses high-frequency intraday electricity prices from the EPEX market to estimate and forecast realised volatility. Variation is broken down into jump and continuous components using quadratic variation theory. Then several heterogeneous autoregressive models are estimated for the logarithmic and standard deviation transformations. GARCH structures are included in the error terms of the models when evidence of conditional heteroscedasticity is found. Model selection is based on various out-of-sample criteria. Under the logarithmic transformation the simplest model outperforms the rest. Under the standard deviation transformation, jump detection before model estimation is useful to improve forecasting.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125383131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981877
A. Essl, André Ortner, R. Haas, Peter Hettegger
One of the most important instruments to be able to provide the needed level of flexibility in the electricity system supporting renewable energy integration are balancing markets. We propose a dynamic approach of balancing procurement using machine learning algorithms. We apply a simulation for a Dynamic Day-Ahead Dimensioning Model to the Austrian delta control area. By using public data on renewables, generation and load we show that dynamic dimensioning and procurement of balancing power enables savings in comparison to static dimensioning and procurement with the same level of security.
{"title":"Machine learning analysis for a flexibility energy approach towards renewable energy integration with dynamic forecasting of electricity balancing power","authors":"A. Essl, André Ortner, R. Haas, Peter Hettegger","doi":"10.1109/EEM.2017.7981877","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981877","url":null,"abstract":"One of the most important instruments to be able to provide the needed level of flexibility in the electricity system supporting renewable energy integration are balancing markets. We propose a dynamic approach of balancing procurement using machine learning algorithms. We apply a simulation for a Dynamic Day-Ahead Dimensioning Model to the Austrian delta control area. By using public data on renewables, generation and load we show that dynamic dimensioning and procurement of balancing power enables savings in comparison to static dimensioning and procurement with the same level of security.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"39 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123179077","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981982
A. Burgio, G. Brusco, D. Menniti, A. Pinnarelli, N. Sorrentino, P. Vizza
The spread of Renewable non-dispatchable sources represents a new challenges for the electrical power system. The unpredictability of generation profiles caused the necessity to compensate the fluctuations of power, also using storage system. Storage system can be utilized to make Renewable Energy Sources more dispatchable, but their utilize solely for this purpose can be non-economical convenient. In this paper the storage system is utilized first of all to increase the self-consumption of energy for a prosumer, then the same storage system is utilized to reduce imbalance charges. The analysis of imbalances costs varying the capacity of storage system and the accuracy of the production forecasts is carried out. It is underlined as the benefits of storage system for high accuracy forecasts are clearer then for low accuracy forecasts.
{"title":"Economic evaluation in using storage to reduce imbalance costs of renewable sources power plants","authors":"A. Burgio, G. Brusco, D. Menniti, A. Pinnarelli, N. Sorrentino, P. Vizza","doi":"10.1109/EEM.2017.7981982","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981982","url":null,"abstract":"The spread of Renewable non-dispatchable sources represents a new challenges for the electrical power system. The unpredictability of generation profiles caused the necessity to compensate the fluctuations of power, also using storage system. Storage system can be utilized to make Renewable Energy Sources more dispatchable, but their utilize solely for this purpose can be non-economical convenient. In this paper the storage system is utilized first of all to increase the self-consumption of energy for a prosumer, then the same storage system is utilized to reduce imbalance charges. The analysis of imbalances costs varying the capacity of storage system and the accuracy of the production forecasts is carried out. It is underlined as the benefits of storage system for high accuracy forecasts are clearer then for low accuracy forecasts.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131517697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981867
P. Baumanns, N. van Bracht, A. Fehler, A. Maaz, A. Moser
Due to an upcoming shift from a power system dominated by dispatchable thermal power plants to a system shaped by renewable energy sources with intermittent feed-in the issue of generation adequacy gains in importance. Despite the European pursuit of a sustainable generation system, the claim for a certain level of security of supply remains which requires investments in new power plants in the long term. Thereby, the question arises whether generation adequacy should be addressed on a national or pan-European level. Thus, this paper evaluates three different interpretations of generation adequacy by optimizing respective least-cost development paths of the European generation stack. The results show that cross-border approaches lead to a reduced amount of new expansion compared to national concepts (−41 GW) while satisfying a comparable level of security of supply.
{"title":"Addressing the question of regional generation adequacy in capacity expansion planning","authors":"P. Baumanns, N. van Bracht, A. Fehler, A. Maaz, A. Moser","doi":"10.1109/EEM.2017.7981867","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981867","url":null,"abstract":"Due to an upcoming shift from a power system dominated by dispatchable thermal power plants to a system shaped by renewable energy sources with intermittent feed-in the issue of generation adequacy gains in importance. Despite the European pursuit of a sustainable generation system, the claim for a certain level of security of supply remains which requires investments in new power plants in the long term. Thereby, the question arises whether generation adequacy should be addressed on a national or pan-European level. Thus, this paper evaluates three different interpretations of generation adequacy by optimizing respective least-cost development paths of the European generation stack. The results show that cross-border approaches lead to a reduced amount of new expansion compared to national concepts (−41 GW) while satisfying a comparable level of security of supply.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133244004","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981869
M. Robaina, M. Madaleno, M. F. Dias
Since the high importance of eco-innovation for a sustained pursuit of energetic and environmental objectives, we analyze to what extent innovative Portuguese companies are concerned with the inclusion of innovations that improve energy efficiency. We use a panel sample of Portuguese companies and data from Community Innovation Survey for the period 2008–2010 that includes 3296 product and/or processes innovative firms. Using a logit model the determinants of energy efficiency innovations are studied. The results give special highlights to belonging or not to an economic group and the access to public finance as the main determinants. It also seems that organizational innovation comes usually hand by hand with eco-innovation. Consequently, it is highlighted the need to design cross-cutting policies to generate incentives for innovative firms in Portugal, and by sectors, to jointly tackle the challenges associated with energy efficiency and environmental sustainability.
{"title":"Which are the energy efficiency determinants in Portuguese innovative firms?","authors":"M. Robaina, M. Madaleno, M. F. Dias","doi":"10.1109/EEM.2017.7981869","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981869","url":null,"abstract":"Since the high importance of eco-innovation for a sustained pursuit of energetic and environmental objectives, we analyze to what extent innovative Portuguese companies are concerned with the inclusion of innovations that improve energy efficiency. We use a panel sample of Portuguese companies and data from Community Innovation Survey for the period 2008–2010 that includes 3296 product and/or processes innovative firms. Using a logit model the determinants of energy efficiency innovations are studied. The results give special highlights to belonging or not to an economic group and the access to public finance as the main determinants. It also seems that organizational innovation comes usually hand by hand with eco-innovation. Consequently, it is highlighted the need to design cross-cutting policies to generate incentives for innovative firms in Portugal, and by sectors, to jointly tackle the challenges associated with energy efficiency and environmental sustainability.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124284388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981924
Alberto Orgaz, Antonio Bello, J. Reneses
This paper presents an efficient approach for computing medium-term market equilibrium models under non-perfect competition, with a focus on multi-area systems, with multiple market splitting options. In accordance to the new policies and regulations aimed at creation of the Internal Electricity Market (IEM), Europe is evolving towards an integration of the electricity markets under a unified framework. Integrating the electricity markets already existing in the European countries represents a great challenge, since multiple agents' strategic behaviors may appear depending on the state of the interconnections. When modeling this effect, the aim is to characterize each strategy by means of a conjectured price response, as a function of the state of the network. The methodology introduced in this paper reduces the possible network configurations thereby making the problem computationally tractable. Finally, this methodology has been applied to a two-year planning model for a set of nine European countries.
{"title":"Multi-area electricity market equilibrium model and its application to the European case","authors":"Alberto Orgaz, Antonio Bello, J. Reneses","doi":"10.1109/EEM.2017.7981924","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981924","url":null,"abstract":"This paper presents an efficient approach for computing medium-term market equilibrium models under non-perfect competition, with a focus on multi-area systems, with multiple market splitting options. In accordance to the new policies and regulations aimed at creation of the Internal Electricity Market (IEM), Europe is evolving towards an integration of the electricity markets under a unified framework. Integrating the electricity markets already existing in the European countries represents a great challenge, since multiple agents' strategic behaviors may appear depending on the state of the interconnections. When modeling this effect, the aim is to characterize each strategy by means of a conjectured price response, as a function of the state of the network. The methodology introduced in this paper reduces the possible network configurations thereby making the problem computationally tractable. Finally, this methodology has been applied to a two-year planning model for a set of nine European countries.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125332261","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981988
T. Möbius, F. Müsgens
The electricity system moves step-by-step towards a system built on the use of intermittent renewable energy sources (RES). The implications raise a variety of questions. We provide deeper insights into the impact of uncertain wind power generation on wholesale electricity prices. In particular, we analyse long-term equilibrium prices and their volatility. We develop and apply a stochastic electricity spot market dispatch and investment model with recourse. We perform our calculations on a “green field” and apply a full cost approach. Thus, we investigate market equilibria in the electricity market. We show that the variance of electricity prices remains stable with the introduction of intermittent wind power production, but increases with the appearance of wind curtailment. As we come closer to a real world application, the price variance increases with increasing uncertainty in the market.
{"title":"Electricity market equilibria and intermittent renewables — A stochastic approach","authors":"T. Möbius, F. Müsgens","doi":"10.1109/EEM.2017.7981988","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981988","url":null,"abstract":"The electricity system moves step-by-step towards a system built on the use of intermittent renewable energy sources (RES). The implications raise a variety of questions. We provide deeper insights into the impact of uncertain wind power generation on wholesale electricity prices. In particular, we analyse long-term equilibrium prices and their volatility. We develop and apply a stochastic electricity spot market dispatch and investment model with recourse. We perform our calculations on a “green field” and apply a full cost approach. Thus, we investigate market equilibria in the electricity market. We show that the variance of electricity prices remains stable with the introduction of intermittent wind power production, but increases with the appearance of wind curtailment. As we come closer to a real world application, the price variance increases with increasing uncertainty in the market.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"600 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132024507","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Heating and cooling for buildings and industry account for 50 % of the annual energy consumption in the European Union. In this study, we analyze a heating market and its sustainability using five scenarios. Our use of a dynamic Multi-Agent-System provides some insights into market dynamics and consumer behavior. This agent-based model simulates the German heating and wood markets and considers both behavioral aspects and governmental regulations. The different market actors, such as private householders, foresters, sawmill operators and pellet producers, are represented by agents. The model is developed as a decision support system that applies not only to Germany, but to other countries and regions as well.
{"title":"Agent-based model of the German heating market: Simulations concerning the use of wood pellets and the sustainability of the market","authors":"Beatriz Beyer, Jutta Geldermann, Lars-Peter Lauven","doi":"10.1109/EEM.2017.7982016","DOIUrl":"https://doi.org/10.1109/EEM.2017.7982016","url":null,"abstract":"Heating and cooling for buildings and industry account for 50 % of the annual energy consumption in the European Union. In this study, we analyze a heating market and its sustainability using five scenarios. Our use of a dynamic Multi-Agent-System provides some insights into market dynamics and consumer behavior. This agent-based model simulates the German heating and wood markets and considers both behavioral aspects and governmental regulations. The different market actors, such as private householders, foresters, sawmill operators and pellet producers, are represented by agents. The model is developed as a decision support system that applies not only to Germany, but to other countries and regions as well.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121202093","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981900
F. Ziel
We present a regression based model for intraday electricity spot prices to analyze the impact of renewable energy forecasting errors. The proposed time series model is suitable to quantify the impact of wind and solar forecasting errors. Due to the considered threshold specification assymetric dependency structures can be captured as well. Additionally it describes well the autoregressive and seasonal effects of intraday electricity prices such as the relationship to day-ahead electricity prices. The methodology is applied to the German intraday market and includes the dependence of the German/Austrian EPEX and EXAA day-ahead markets. Moreover, we discuss the evidence of time-varying and asymmetric effects of wind and solar power forecasting errors. Our findings show that given the considered modeling framework there is no statistically significant evidence that positive wind or solar forecasting errors have a different impact on intraday electricity prices than negative ones.
{"title":"Modeling the impact of wind and solar power forecasting errors on intraday electricity prices","authors":"F. Ziel","doi":"10.1109/EEM.2017.7981900","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981900","url":null,"abstract":"We present a regression based model for intraday electricity spot prices to analyze the impact of renewable energy forecasting errors. The proposed time series model is suitable to quantify the impact of wind and solar forecasting errors. Due to the considered threshold specification assymetric dependency structures can be captured as well. Additionally it describes well the autoregressive and seasonal effects of intraday electricity prices such as the relationship to day-ahead electricity prices. The methodology is applied to the German intraday market and includes the dependence of the German/Austrian EPEX and EXAA day-ahead markets. Moreover, we discuss the evidence of time-varying and asymmetric effects of wind and solar power forecasting errors. Our findings show that given the considered modeling framework there is no statistically significant evidence that positive wind or solar forecasting errors have a different impact on intraday electricity prices than negative ones.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121766593","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-06-01DOI: 10.1109/EEM.2017.7981854
Amanda Spisto, S. Vitiello
The push to integrate massive Renewable Energy Sources (RES) puts the future development of power systems under significant uncertainties. This study analyses a private investment in Pumped Hydro Storage (PHS) operating in a zonal market characterized by transmission congestion between zones. This study shows negative NPV values for the investment in PHS technology in two Italian zones. The profit analysis of the private investor should be accompanied by the assessment of its impact on social welfare, represented here in terms of avoided CO2 emissions and RES system integration. PHS operation, despite being costs minimizing from a system standpoint, does not guarantee optimality in terms of social welfare improvement. On the other side, transmission upgrade investment projects are profitable and might contribute to increase the overall social gain. Policy incentives in support to one technology or another would intervene if its social value would at least cover the net loss.
{"title":"Spatial and temporal power shifting from flexible sources. An economic and environmental assessment","authors":"Amanda Spisto, S. Vitiello","doi":"10.1109/EEM.2017.7981854","DOIUrl":"https://doi.org/10.1109/EEM.2017.7981854","url":null,"abstract":"The push to integrate massive Renewable Energy Sources (RES) puts the future development of power systems under significant uncertainties. This study analyses a private investment in Pumped Hydro Storage (PHS) operating in a zonal market characterized by transmission congestion between zones. This study shows negative NPV values for the investment in PHS technology in two Italian zones. The profit analysis of the private investor should be accompanied by the assessment of its impact on social welfare, represented here in terms of avoided CO2 emissions and RES system integration. PHS operation, despite being costs minimizing from a system standpoint, does not guarantee optimality in terms of social welfare improvement. On the other side, transmission upgrade investment projects are profitable and might contribute to increase the overall social gain. Policy incentives in support to one technology or another would intervene if its social value would at least cover the net loss.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128083354","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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