Intraday price forecast

More and more flexible consumers and power and storages are actively participating in the power exchange in order to save on electricity costs or to generate revenues. In addition to Day-Ahead Trading, trading on the Intraday Market has also increased significantly in recent years. Intraday trading is more volatile than the Day-Ahead Market due to shorter time periods and in some cases shorter products. On the one hand, this increases the risk in marketing, but on the other hand, it can also result in attractive profit opportunities.
For trading on the power exchange, the market participants need price forecasts on the basis of which they can make their trading decisions. A short-term forecast period is often decisive for the marketing of flexibilities. For this purpose, we have developed a short-term price forecast of the quarter-hourly intraday auction. This is based on hourly Day-Ahead Prices, as well as load and generation forecasts.

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Context: Products and trading hours on the power exchange

The majority of the trading volume on the European power exchange EPEX consists of the Day-Ahead Trade, which takes place at 12 noon on the day before delivery. Products traded are hourly products and block products of several hours. Increasingly, however, the trading volume in the subsequent and thus shorter-term Intraday Trading is also increasing. In Germany, Intraday trading begins with the Intraday Opening Auction at 3 p.m. the day before, in which power products are traded in quarter-hourly resolution. Quarter-hourly products are also traded in the subsequent continuous Intraday Trading. Unlike the Day-Ahead Market and the Intraday Auction, prices are not formed here as a volume-maximizing unit price, but matching bids are matched directly and bidders pay or receive the price they bid (pay-as-bid).

Methodology

The price forecast for intraday auction prices is a short-term forecast that is formed only a few hours before the intraday auction (DE). It is based on previous market prices, as well as load and renewable forecasts. These data are publicly available at [1, 2]. The input data currently are published here free of charge only after the trading period, therefore we can also publish the forecast only ex post. The methodology can be applied equivalently to forecast continuous intraday prices, but the accuracy is lower compared to the intraday auction.

Further Information

Literatur

[1] European association for the cooperation of transmission system operators for electricity, „Entso-e – Transparency plattform,“ 12 09 2022. [Online]. Available: https://transparency.entsoe.eu/. [Zugriff am 12 09 2022].

[2] European Energy Exchange (EEX), „Epex Spot – Market Data,“ [Online]. Available: https://www.epexspot.com/en/market-data. [Zugriff am 22 05 2023].