Partner:
Universität Wuppertal Lehrstuhl Stochastik, Vattenfall Energy Trading GmbH

Task:
Price contributors to be considered:

• Import/Export (cross-border) flow of electricity in Germany
• Margins/add-ons

Reference day model
The aim of this method is to find historically similar days/hours by studying factors (demand, wind, etc), that affect the price contributors, and then the value(s) of the fundamentally equal day /hour or days /hours is reused.

The steps to be undertaken can roughly be explained as follows:

1. Find a suitable set of statistically significant underlying factors (such as wind production, demand, temperature, holidays, etc) which can explain historical price contributors well enough.
2. Investigate robust method of comparing daily/hourly price contributor to each other. Practically, single hours and single days are most likely to be compared. Linear and non-linear methods can be taken into consideration. For example discriminant analysis and Classification and Regression Trees (CART).
3. Estimate future price contributors using the methods from point 1-2 above, by comparing the future predictors (such as wind production, demand, temperature, holidays, etc) to their past values and thereby finding the most similar historic/observed price contributor.
4. The forecast results are then compared with the results from the present models.