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A Model of German Spot Power Market

Author

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  • Jiří Šumbera
  • Martin Dlouhý

Abstract

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.

Suggested Citation

  • Jiří Šumbera & Martin Dlouhý, 2015. "A Model of German Spot Power Market," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(3), pages 287-306.
    • Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:520:p:287-306
    DOI: 10.18267/j.pep.520
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    More about this item

    Keywords

    power market modelling; mixed-integer linear programming; start-up costs;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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