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Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution. (arXiv:2211.13002v1 [q-fin.ST])
stat.ML updates on arXiv.org arxiv.org
During the last years, European intraday power markets have gained importance
for balancing forecast errors due to the rising volumes of intermittent
renewable generation. However, compared to day-ahead markets, the drivers for
the intraday price process are still sparsely researched. In this paper, we
propose a modelling strategy for the location, shape and scale parameters of
the return distribution in intraday markets, based on fundamental variables. We
consider wind and solar forecasts and their intraday updates, outages, price
information and …
arxiv distribution forecasting location markets modelling power price scale simulation