Lecture

Econometrics of Electricity Markets

Name in diploma supplement

Econometrics of Electricity Markets

Organisational Unit

Lehrstuhl für Data Science in Energy and Environment

Lecturers

Prof. Dr. Florian Ziel

Cycle

irregular

SPW

2

Language

English

Participants at most

no limit

Participants

• BWL EaF MasterWahlpflichtbereich 1.-3. Sem, Elective, Module Econometrics of Electricity Markets
• ECMX MasterWahlpflichtbereichME6 Applied Econometrics 1.-3. Sem, Elective, Module Econometrics of Electricity Markets
• VWL MasterWahlpflichtbereich I 1.-3. Sem, Elective, Module Econometrics of Electricity Markets
• MuU MasterWahlpflichtbereich IWahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen 1.-2. Sem, Elective, Module Econometrics of Electricity Markets

Preliminary knowledge

• Good knowledge of linear models.
• R knowledge (esp. functions like lm)
• Understanding of AR(p) processes is very helpful

Abstract

The objective of the lecture is to provide a basic understanding of electricity markets and regression based modeling methods for electricity prices. The aim of this course is to apply estimation and forecasting algorithms to real data using the statistical Software R, to interpret and to visualize the results.

Contents

1. Introduction to electricity markets
2. Overview of different model approaches
3. Regression based modeling methods for electricity prices
4. Forcasting and evaluation techniques
5. Advanced estimation and modeling approaches

Literature

The relevant material will be given during the course.

Suggested reading:

Weron, Rafał. "Electricity price forecasting: A review of the state-of-the-art with a look into the future." International Journal of Forecasting 30.4 (2014): 1030-1081.

Teaching concept

Lecture. The studied modeling an forecasting methods are applied on real data using the statistical sofware R.