论文标题
盘中电力市场价格的计量经济学建模，历史数据不足
Econometric Modeling of Intraday Electricity Market Price with Inadequate Historical Data
论文作者
论文摘要
在最近的欧盟电力市场讨论中，电际（ID）电力市场受到了越来越多的关注。这部分是因为潜在电力系统的不确定性正在增长，并且ID市场提供了一个调整平台来处理这种不确定性。因此，市场参与者需要适当的ID市场价格模型，以通过市场交易来最佳调整其头寸。 ID市场价格的历史数据不足使模型更具挑战性。本文提出了长期的短期记忆，深度卷积生成的对抗网络以及无U-Turn采样器算法，以模拟ID市场价格。我们提出的计量经济ID市场价格模型应用于北欧ID价格数据，并说明了其有希望的绩效。
The intraday (ID) electricity market has received an increasing attention in the recent EU electricity-market discussions. This is partly because the uncertainty in the underlying power system is growing and the ID market provides an adjustment platform to deal with such uncertainties. Hence, market participants need a proper ID market price model to optimally adjust their positions by trading in the market. Inadequate historical data for ID market price makes it more challenging to model. This paper proposes long short-term memory, deep convolutional generative adversarial networks, and No-U-Turn sampler algorithms to model ID market prices. Our proposed econometric ID market price models are applied to the Nordic ID price data and their promising performance are illustrated.
