arXiv subjects

Sergei Kulakov

Publications and source records attributed to Sergei Kulakov.

3 recordsLinked to original sources

arXiv2019

The Impact of Renewable Energy Forecasts on Intraday Electricity Prices

In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves data and errors in wind and solar power forecasts. The model shifts day-ahead supply curves to calculate intraday prices. We apply our model to the German EPEX SPOT SE data. Our model outperforms both linear and non-linear benchmarks. Our study allows us to conclude that errors in renewable energy forecasts exert a non-linear impact on intraday prices. We demonstrate that additional wind and solar power capacities induce non-linear changes in the intraday price volatility. Finally, we comment on economical and policy implications of our findings.

econ.GN↗

arXiv2019

Determining Fundamental Supply and Demand Curves in a Wholesale Electricity Market

In this paper we develop a novel method of wholesale electricity market modeling. Our optimization-based model decomposes wholesale supply and demand curves into buy and sell orders of individual market participants. In doing so, the model detects and removes arbitrage orders. As a result, we construct an innovative fundamental model of a wholesale electricity market. First, our fundamental demand curve has a unique composition. The demand curve lies in between the wholesale demand curve and a perfectly inelastic demand curve. Second, our fundamental supply and demand curves contain only actual (i.e. non-arbitrage) transactions with physical assets on buy and sell sides. Third, these transactions are designated to one of the three groups of wholesale electricity market participants: retailers, suppliers, or utility companies. To evaluate the performance of our model, we use the German wholesale market data. Our fundamental model yields a more precise approximation of the actual load values than a model with perfectly inelastic demand. Moreover, we conduct a study of wholesale demand elasticities. The obtained conclusions regarding wholesale demand elasticity are consistent with the existing academic literature.

econ.GN↗

arXiv2019

X-model: further development and possible modifications

Despite its critical importance, the famous X-model elaborated by Ziel and Steinert (2016) has neither bin been widely studied nor further developed. And yet, the possibilities to improve the model are as numerous as the fields it can be applied to. The present paper takes advantage of a technique proposed by Coulon et al. (2014) to enhance the X-model. Instead of using the wholesale supply and demand curves as inputs for the model, we rely on the transformed versions of these curves with a perfectly inelastic demand. As a result, computational requirements of our X-model reduce and its forecasting power increases substantially. Moreover, our X-model becomes more robust towards outliers present in the initial auction curves data.

econ.EM↗