Continuous-Time Autoregressive Processes for Modeling Electricity Prices and Renewable Energies

This thesis deals with stochastic models for electricity markets. The focus is on wholesale prices and renewable power generation. Continuous-time autoregressive (CAR) processes are frequently used in this context. We define two new types within the class of CAR processes and show their benefits in application to the electricity market. The first process extends CAR processes with regime switching mean-reversion rates by including a jump component. This is necessary because spikes are one of the most pronounced features of electricity prices. CAR processes with non-constant parameters are also considered in an innovative model for photovoltaic (PV) power generation. This model provides for the first time a pure statistical approach to map intraday variation of solar power infeed. The second newly defined stochastic process allows to include external information in a flexible way. This makes it possible to take many facets of renewable energy production into account when determining the electricity price. Since renewable energies have an increasing impact on electricity prices, models that can handle related information are becoming more and more important. All results are applied to the German electricity market. Implementations for the newly defined processes are provided in R and C++

Continuous-Time Autoregressive Processes for Modeling Electricity Prices and Renewable Energies

This thesis deals with stochastic models for electricity markets. The focus is on wholesale prices and renewable power generation. Continuous-time autoregressive (CAR) processes are frequently used in this context. We define two new types within the class of CAR processes and show their benefits in application to the electricity market. The first process extends CAR processes with regime switching mean-reversion rates by including a jump component. This is necessary because spikes are one of the most pronounced features of electricity prices. CAR processes with non-constant parameters are also considered in an innovative model for photovoltaic (PV) power generation. This model provides for the first time a pure statistical approach to map intraday variation of solar power infeed. The second newly defined stochastic process allows to include external information in a flexible way. This makes it possible to take many facets of renewable energy production into account when determining the electricity price. Since renewable energies have an increasing impact on electricity prices, models that can handle related information are becoming more and more important. All results are applied to the German electricity market. Implementations for the newly defined processes are provided in R and C++

Continuous-Time Autoregressive Processes for Modeling Electricity Prices and Renewable Energies

This thesis deals with stochastic models for electricity markets. The focus is on wholesale prices and renewable power generation. Continuous-time autoregressive (CAR) processes are frequently used in this context. We define two new types within the class of CAR processes and show their benefits in application to the electricity market. The first process extends CAR processes with regime switching mean-reversion rates by including a jump component. This is necessary because spikes are one of the most pronounced features of electricity prices. CAR processes with non-constant parameters are also considered in an innovative model for photovoltaic (PV) power generation. This model provides for the first time a pure statistical approach to map intraday variation of solar power infeed. The second newly defined stochastic process allows to include external information in a flexible way. This makes it possible to take many facets of renewable energy production into account when determining the electricity price. Since renewable energies have an increasing impact on electricity prices, models that can handle related information are becoming more and more important. All results are applied to the German electricity market. Implementations for the newly defined processes are provided in R and C++