Modeliranje krivulje urnih cen električne energije

KASTELIC, TAJDA (author), Pantoš, Miloš (mentor)

V magistrskem delu smo razvili model za modeliranje urnih cen električne energije za poljubno definirano časovno obdobje v prihodnosti. Krivulja, ki predstavlja rezultat modela, se imenuje urna terminska krivulja (angl. Hourly Price Forward Curve). Analizirali smo obstoječo literaturo in določili, kateri dejavniki imajo največji vpliv na natančnost modela in katere podatke in pogoje je nujno upoštevati v enostavnem modelu za modeliranje urnih cen. Cilj je bil zgraditi enostaven in hiter a zadovoljivo natančen model. Za zadovoljivo natančnost so zadostovali podatki o urnih cenah in cenah standardiziranih terminskih pogodb ter podatki o praznikih v državi, za katero smo gradili model. Pri modeliranju smo upoštevali vpliv cikličnosti v posameznem tipu dni, torej nihanje cen znotraj vseh ponedeljkov, torkov itd. v opazovanem obdobju. Upoštevali smo praznike in povezovalne dni med praznikom in vikendom, ki jih imenujemo mostovi. Izpolnili smo nujni brez-arbitražni pogoj in upoštevali, da imajo standardizirane terminske pogodbe s krajšim rokom trajanja prednost pred tistimi z daljšim rokom. V programskem orodju Matlab smo izdelali model, ki iz urnih cen enega leta modelira urne cene za vsako uro naslednjega leta. Model smo preizkusili na testnem okolju, ki smo ga definirali s pomočjo realnih podatkov za nemški elektroenergetski trg, pridobljenih iz borze European Energy Exchange. Rezultate smo analizirali in analizo zaključili s predlogi za izboljšanje metode.

• Language: Slovenian
• Keywords: urna terminska krivulja, modeliranje cen električne energije, urna cena, standardizirana terminska pogodba
• Work type: Master's thesis/paper
• Organization: FE - Faculty of Electrical Engineering
• Year: 2017
• PID: 20.500.12556/RUL-98992
• Publication date in RUL: 18.12.2017

Secondary language

• Language: English
• Title: Modeling of hourly electricity price forward curves

Abstract

In this Master's thesis a model for modeling hourly prices of electricity for arbitrary defined period of time in the future has been developed. The model's resulting curve is called Hourly Price Forward Curve. The existing literature has been analyzed and the factors with the strongest impact on the accuracy of the model have been evaluated. Furthermore essential data and conditions needed to be taken under consideration in a simple model for hourly prices modeling have been determined. The goal was to build a simple and fast, but adequately accurate model. For adequate accuracy the data of Spot prices and prices of Futures along with the information about national holidays of the country the model is built for, are enough. When modeling, the seasonal patterns in specific types of days were taken into consideration; which means price fluctuation within all Mondays, Tuesdays etc. in the observed period. Holidays and connecting days between a holiday and a weekend, which are called bridges, were considered. Their arbitrage free condition has been fulfilled and precedence of short term Futures over the long term Futures has been considered. A model has been created in the programming tool Matlab. From the data of hourly prices of electricity for one year, the program is modeling hourly prices for each hour of the succeeding year. The model has been tested in a test setting, which was defined with the real data for German power market sourced from the European Energy Exchange. The results have been analyzed and the conclusions with the suggestions for the method improvement have been made.

• Keywords: Hourly Price Forward Curve, Electricity price modeling, Spot price, Future price