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.
|
