Dutch electricity spot price forecasting

Two study cases using structured expert judgement

Master thesis (2022)

Authors

A.D.S. Bachasingh Electrical Engineering, Mathematics and Computer Science

Contributors

G.F. Nane Applied Probability - EEMCS (supervisor 1)
D. Kurowicka Applied Probability - EEMCS (supervisor 2)
P. Chen Statistics - EEMCS (supervisor 2)
M. Koenen (supervisor 1)
J. Duivenvoorden (supervisor 1)
Faculty
Electrical Engineering, Mathematics and Computer Science
Copyright: © 2022 Ashni Bachasingh
Structured Expert Judgement Electricity day-ahead spot prices Baseload Peakload Cooke’s Classical Model Experts Lectricity Price Forecast EPEXSPOT Dutch electricity market
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Published Date

17-03-2022

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Abstract

Electricity is a quite unique commodity. Due to the economically non-storable nature of the commodity that electricity is, the constant balance between consumption and production, weather effects, such as temperature, wind speed, solar intensity etc, and the intensity of everyday and business activities, e.g. holi- days, weekends, on- and off-peak hours etc., the price dynamics of this commodity are quite unique as they are not observed in any other market. This extreme price volatility has forced market participants to hedge volumes as well as price risks. Naturally, electricity price forecast models are of great interest to portfolio managers.
Current data-driven models are combined with expertise of traders due to the considerable uncertainty of these models. We aim to subject trader expertise to a transparent methodology using structured expert judgement. During this study, we conduct two elicitations whose variables of interest concern average day- ahead spot prices for 2025, 2030 and 2035. We distinguish between baseload and peakload price. The first elicitation uses assessments regarding current Dutch day-ahead electricity spot prices to forecast forecast the variables of interest. We forecast the average day-ahead electricity spot price for 2025, 2030 and 2035. The second elicitation uses assessments regarding data on past, current and future developments in the Dutch electricity markets to forecast forecast the variables of interest. The second elicitation results in a decision maker with a higher price forecast than the decision maker of the first elicitation. Uncertainty regarding the forecast is higher for 2025 and 2030 during the second study. Uncertainty is equally high regarding the peakload price forecast for 2035 in both studies, however the range shifts.