IMMORTAL - Investigating Market Microstructure and Short-term Price Forecasting in Intra-day Electricity Markets

可再生能源发电的扩张和积极的需求侧管理增加了短期电力市场的重要性，许多市场参与者将其视为电力交易的未来。然而，绝大多数研究都是在日前拍卖交易的背景下进行的，这是迄今为止欧洲电力交易的主力。这种情况要求：(1)了解日内市场微观结构，其连续交易的个别负荷期，直至交付前几分钟，并直接影响电力系统基本面，因此不同于统一价格拍卖的前一天市场；(2)开发创新的预测方法，以满足日内电力交易的非常具体的特点。该项目的主要目标是充分解决这两个挑战。该项目提供了一个由三个相互关联和并行的任务组成的综合方法，从基础研究和实用的角度来看都很有趣。也就是说，该项目将通过分析现有的和引入新的方法来研究日内市场的精细结构，如订单流量和交易强度，利用电力市场基本面和日内交易的关系，并为日内电力市场量身定制高效的高频时间序列预测算法，从而促进计量经济学的发展。鉴于作出交易决定的时间框架正变得越来越短，该项目将提供有关交易策略与电力市场基本面之间的关系和相互作用的信息，并为适当选择急需的预测技术提供指导。从功利的角度来看，它将有助于改善能源部门的预测和风险管理实践，从长远来看，它可能有助于改善能源公司的财务稳定性和国家能源安全。德国-波兰团队的独特组成，一方面具有深厚的日内电力市场研究经验，统计学习专业知识和能源交易商（Kiesel, Ziel）的访问，另一方面具有世界级的电价预测专家（Weron），必将确保成功。

The expansion of renewable generation and active demand side management has increased the importance of short-term electricity markets, which are seen by many market participants as the future of electricity trading. However, the vast majority of research has been in the context of day-ahead auction trading, the workhorse of power trading in Europe to date. This situation calls for (1) understanding the intraday market microstructure with its continuous trading for individual load periods up to a few minutes before delivery and direct influence of power system fundamentals, so different from the uniform price auction day-ahead markets, and (2) developing innovative forecasting methods that meet the very specific characteristics of intraday electricity trading. The main objective of the project is to adequately address these two challenges. The project offers an integrated approach composed of three interrelated and parallel tasks, which are interesting both from a basic research and a utilitarian point of view. Namely, the project will contribute to the development of econometrics by analyzing existing and introducing new methods for studying the fine structure of intraday markets, such as order flow and trading intensity, utilizing the relation of power market fundamentals and intraday trading, and working out efficient forecasting algorithms for high-frequency time series, tailored for intraday electricity markets. Given that the timeframe for making trading decisions is becoming shorter and shorter, the project will contribute by providing information on the relationship and interactions of trading strategies and power market fundaments as well as guidance as to the appropriate choice of much needed forecasting techniques. From the utilitarian point of view it will contribute to improving forecasting and risk management practices in the energy sector and in the longer run it may contribute to improving the financial stability of energy companies and the national energy security. The unique composition of the German-Polish team with profound research experience on intraday electricity markets, statistical learning expertise and access to energy traders (Kiesel, Ziel) on one hand, and a world-class expert on electricity price forecasting (Weron) on the other, will surely guarantee success.