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Open AccessArticle

Estimation and Simulation of the Transaction Arrival Process in Intraday Electricity Markets

House of Energy Markets and Finance, University of Duisburg-Essen, 45141 Essen, Germany
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Energies 2019, 12(23), 4518; https://doi.org/10.3390/en12234518
Received: 31 October 2019 / Revised: 20 November 2019 / Accepted: 26 November 2019 / Published: 27 November 2019
(This article belongs to the Special Issue Modeling and Forecasting Intraday Electricity Markets)
We examine the novel problem of the estimation of transaction arrival processes in the intraday electricity markets. We model the inter-arrivals using multiple time-varying parametric densities based on the generalized F distribution estimated by maximum likelihood. We analyse both the in-sample characteristics and the probabilistic forecasting performance. In a rolling window forecasting study, we simulate many trajectories to evaluate the forecasts and gain significant insights into the model fit. The prediction accuracy is evaluated by a functional version of the MAE (mean absolute error), RMSE (root mean squared error) and CRPS (continuous ranked probability score) for the simulated count processes. This paper fills the gap in the literature regarding the intensity estimation of transaction arrivals and is a major contribution to the topic, yet leaves much of the field for further development. The study presented in this paper is conducted based on the German Intraday Continuous electricity market data, but this method can be easily applied to any other continuous intraday electricity market. For the German market, a specific generalized gamma distribution setup explains the overall behaviour significantly best, especially as the tail behaviour of the process is well covered. View Full-Text
Keywords: intraday market; point process; inter-arrival time; trajectory simulation; transaction time; electricity market; probabilistic forecasting; density estimation intraday market; point process; inter-arrival time; trajectory simulation; transaction time; electricity market; probabilistic forecasting; density estimation
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Narajewski, M.; Ziel, F. Estimation and Simulation of the Transaction Arrival Process in Intraday Electricity Markets. Energies 2019, 12, 4518.

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