2020/11/08 by Wieger Hinderks, Hinderks, Wieger, Ralf Korn +3
Engineering · #Electric Power System Optimization #Smart Grid Energy Management #Energy Load and Power Forecasting
paper · pdf · doi:10.48550/arxiv.2011.03987
In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price p(τ). We use it to connect the classical theory of storage with the concept of a risk premium. We derive prices for all common contracts such as the intraday spot price, the day-ahead spot price, and futures prices. Finally, we propose an explicit model from the class of structural models and conduct an empirical analysis, where we find an overall negative risk premium.