The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts

We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction prices have not been studied intensively with a clear focus on predictive power. Besides electricity price forecasting, we check for the impact of early day-ahead (DA) EXAA prices on intraday forecasts. Another novelty of this paper is the complementary discussion of economic benefits. A precise estimation is worthless if it cannot be utilized. We elaborate possible trading decisions based upon our forecasting scheme and analyze their monetary effects. We find that even simple electricity trading strategies can lead to substantial economic impact if combined with a decent forecasting technique.

• Publication year

  2018

• Venue

  Energy Economics

• Publication date

  2018-10-01

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.1016/j.eneco.2018.10.005arXiv 1811.08604
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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