English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

During the last years, European intraday power markets have gained importancefor balancing forecast errors due to the rising volumes of intermittentrenewable generation. However, compared to day-ahead markets, the drivers forthe intraday price process are still sparsely researched. In this paper, wepropose a modelling strategy for the location, shape and scale parameters ofthe return distribution in intraday markets, based on fundamental variables. Weconsider wind and solar forecasts and their intraday updates, outages, priceinformation and a novel measure for the shape of the merit-order, derived fromspot auction curves as explanatory variables. We validate our modelling bysimulating price paths and compare the probabilistic forecasting performance ofour model to benchmark models in a forecasting study for the German market. Theapproach yields significant improvements in the forecasting performance,especially in the tails of the distribution. At the same time, we are able toderive the contribution of the driving variables. We find that, apart from thefirst lag of the price changes, none of our fundamental variables haveexplanatory power for the expected value of the intraday returns. This impliesweak-form market efficiency as renewable forecast changes and outageinformation seems to be priced in by the market. We find that the volatility isdriven by the merit-order regime, the time to delivery and the closure ofcross-border order books. The tail of the distribution is mainly influenced bypast price differences and trading activity. Our approach is directlytransferable to other continuous intraday markets in Europe.

Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution