Prague Economic Papers 2015, 24(3):287-306 | DOI: 10.18267/j.pep.520

A Model of German Spot Power Market

Jiří Šumbera1, Martin Dlouhý2
1 Department of Econometrics, Faculty of Informatics and Statistics, University of Economics in Prague (sumbera@jikos.cz).
2 Department of Econometrics, Faculty of Informatics and Statistics, University of Economics in Prague (dlouhy@vse.cz).

This paper aims to model the day-ahead prices on the German EPEX SPOT exchange during the year 2011 using a fundamental mixed-integer programming model with focus on the changes in the volatility of prices. A model of the German market is built from publicly available data. Various constraints on the supply side such as operational characteristics of power plants are described, characterized and ultimately formulated as constraints of a cost-minimization problem. Unknown power plant characteristics are estimated by expert opinions or are inferred indirectly from other data. Several scenarios testing the impact of constraints and modelling approaches are analysed. In addition, a future scenario simulating the year 2016 is used to forecast price developments under the ongoing massive renewable energy growth. Finally, results are discussed with respect to price forecasting accuracy with a focus on the changes in the volatility of prices.

Keywords: power market modelling, mixed-integer linear programming, start-up costs
JEL classification: C61, Q41

Published: January 1, 2015  Show citation

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Šumbera, J., & Dlouhý, M. (2015). A Model of German Spot Power Market. Prague Economic Papers24(3), 287-306. doi: 10.18267/j.pep.520
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