Investigating Market Microstructure and shOrt-term pRice forecasTing in intrA-day eLectricity markets (IMMORTAL)
The increasing production of renewable energies and active demand side management have increased the importance of short-term electricity trading. Most of the existing literature, however, deals with trading in the day-ahead auction, but the continuous intraday trading of electricity is said to become the future of electricity trading. For this reason, it is important to understand this continuous market, its market microstructure and influences from power system fundamentals on the one hand. On the other hand, innovative forecasting methods need to be developed to meet the specific characteristics of intraday electricity trading.
The project „Investigating Market Microstructure and shOrt-term pRice forecasTing in intrA-day eLectricity markets“ (IMMORTAL) is carried out by an interdisciplinary German-Polish research team around Prof. Dr. Rüdiger Kiesel, Prof. Dr. Florian Ziel (Essen, GER) and Prof. Dr. Rafał Weron (Wrocław, PL), who already have profound expertise in modeling energy markets. Three linked tasks are the main elements of this research project. First of all, the market microstructure needs to be investigated and adequate stochastic models for the order flow need to be developed. Furthermore, the relationships between power system fundamentals and intraday trading have to be investigated by statistical analyses and techniques for the incorporation of these fundamentals in forecasting models will be developed. The third task is the development and validation of forecasting methods, which are explicitly tailored for intraday electricity markets.
Contact: Anke Kramer, M.Sc.