Modelling electricity prices and the infeed from renewable energies

We first have a look at the German energy market where (as on many other energy markets) the share of renewable energies is growing fast. Then we investigate models for electricity prices, e.g. the model developed in Benth et al. (2014) which disentangles the spot price into three components: a trend and seasonality function, a continuous-time autoregressive process, and an additional noise process for the long-term fluctuations. However, due to changing rules and regulations, changing market conditions, and a changing electricity production towards a higher proportion of renewable energies, electricity prices show a changing behaviour over time. Hence, we also look at a model which allows for time-varying parameters. Since the renewable energies play a key role in the price process we finally propose a model for solar power infeed. The models are applied to data from the European Energy Exchange EEX. The talk is based on joint work with Boris Buchmann (Australian National University), Daniel Lingohr (University of Augsburg) and Armin Seibert (University of Augsburg).

Professor Gernot Mueller

Gernot Mueller studied mathematics and computer science at Wuerzburg University in Germany. In his PhD thesis he investigated Bayesian methods for estimating ordinal response models in financial applications. In 2006 he was Senior Research Fellow at the Australian National University, where he worked mainly with Ross Maller. During several visits at ANU he also met Barry Oliver regularly. Since 2013 he holds the Chair for Computational Statistics and Data Analysis at Augsburg University. His recent publications appeared in the Journal of Econometrics, the Journal of Business and Economic Statistics, and Energy Economics.

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