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5. Analysing the impact of renewables on Iberian wholesale electricity market prices using machine learning techniques.

Author

Ballester, Cristina and Furió, Dolores

Subjects
ELECTRICITY pricing, RENEWABLE energy costs, WHOLESALE prices, MARKET pricing, MARKET prices, MACHINE learning, MARGINAL pricing, ELECTRICITY markets
Abstract

The integration of renewable generation sources into wholesale electricity markets is expected to reduce day-ahead marginal prices. This effect has been widely evidenced by previous literature and is commonly referred to as the merit order effect. However, the factors influencing the components of final prices, other than the day-ahead market price, have not been subjected to as much study. Nevertheless, they may prove crucial in understanding the dynamics between the interrelated trading segments in the wholesale electricity market. Furthermore, in the context of the energy transition process, the penetration of intermittent renewable energy sources (mainly wind and solar photovoltaic) and the non-storability of electricity at a large scale may result in increased market balancing needs and costs. The objective of this study was to identify the primary drivers of final wholesale electricity prices in the Iberian electricity market, apart from the day-ahead market price, using machine learning techniques. The results indicate that the share of renewable generation in the day-ahead market is a significant factor influencing both the cost of managing technical constraints, which aims to address network capacity issues, and the cost of managing balancing processes and resolving adjustment issues by the TSO. However, both of these costs can be readily accommodated by the market, as they represent a minimal percentage of the final price. These findings are of interest to both practitioners and regulators, as they provide a better understanding of the functioning of the market and have implications for the restructuring of the market towards a more sustainable and competitive electricity system. [ABSTRACT FROM AUTHOR]

Published
2024
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16. Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Author

Furió, Dolores and J. Climent, Francisco

Subjects
Tails estimation, Backtesting, Conditional extreme value theory
Abstract

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Published
2011

17. A survey on the Spanish Electricity Intraday Market

Author

Furió, Dolores and Furió, Dolores

Abstract

The Spanish electricity intraday market presents a particular design that makes it unique in Europe. The study is carried out on an hourly basis in order to identify hourly patterns in prices and traded quantities by session. The study evidences an overall growing interest from market participants in intraday trading, particularly in the last-time-negotiated hours. Prices exhibit hourly and daily seasonality as well as mean reversion. Going in depth into the analysis of the current electricity intraday markets is of great relevance nowadays given that there is an open debate concerning the optimal design for intraday markets all over Europe as a consequence of the wholehearted integration of renewables into the power system., El diseño del mercado intradiario de electricidad español no se repite en ningún otro mercado eléctrico europeo. El presente trabajo analiza precios y cantidades negociadas utilizando una frecuencia horaria con el fin de identificar pautas de comportamiento horarios en este mercado. Se evidencia en general un interés creciente por parte de los participantes en el mercado, especialmente en las horas de última posibilidad de negociación. Los precios presentan estacionalidad tanto horaria como diaria así como reversión a la media. La profundización en el análisis de los mercados intradiarios de electricidad existentes es un tema que reviste una gran importancia dado que actualmente existe un debate abierto en relación al diseño óptimo de los mercados intradiarios en Europa como consecuencia de la decidida incorporación de las energías renovables en el sistema eléctrico.

Published
2011

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