Journal of Energy Markets

Risk.net

Efficient representation of supply and demand curves on day-ahead electricity markets

Mariia Soloviova and Tiziano Vargiolu

  • We model supply and demand curves of electricity day-ahead auctions in a parsimonious way. 
  • We represent each curve using mesh-free interpolation techniques based on radial basis function approximation.
  • We describe results of this method for the day-ahead IPEX spot price of Italy.
  • We forecast supply and demand curves and the resulting market clearing price, with an error smaller than univariate methods.

We model the supply and demand curves of electricity day-ahead auctions in a parsimonious way by building an appropriate algorithm to present the information about electricity prices and demand with far fewer parameters than the existing algorithm. We represent each curve using mesh-free interpolation techniques based on radial basis function approximation. We describe the results of this method for the day-ahead IPEX spot price of Italy and then use these representations to forecast supply and demand and find the intersection of the predicted supply and demand curves in order to obtain the market clearing price.

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