Universität zu Köln

Avci, Ezgi, Ketter, Wolfgang ORCID: 0000-0001-9008-142X and van Heck, Eric (2018). Managing electricity price modeling risk via ensemble forecasting: The case of Turkey. Energy Policy, 123. S. 390 - 404. OXFORD: ELSEVIER SCI LTD. ISSN 1873-6777

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Abstract

There are two ways of managing market price risk in electricity day ahead markets, forecasting and hedging. In emerging markets, since hedging possibilities are limited, forecasting becomes the foremost important tool to manage spot price risk. Despite the existence of great diversity of spot price forecasting methods, due to the unique characteristics of electricity as a commodity, there are still three key forecasting challenges that a market participant has to take into account: risk of selection of an inadequate forecasting method and transparency level of the market (availability level of public data) and country-specific multi-seasonality factors. We address these challenges by using a detailed market-level data from the Turkish electricity day-ahead auctions, which is an interesting research setting in that it presents a number of challenges for forecasting. We reveal the key distinguishing features of this market quantitatively which then allow us to propose individual and ensemble forecasting models that are particularly well suited to it. This forecasting study is pioneering for Turkey as it is the very first to focus specifically on electricity spot prices since the country's day-ahead market was established in 2012. We also suggested applicable policy and managerial implications for both regulatory bodies, market makers and participants.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Avci, Ezgi UNSPECIFIED UNSPECIFIED UNSPECIFIED Ketter, Wolfgang UNSPECIFIED orcid.org/0000-0001-9008-142X UNSPECIFIED van Heck, Eric UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-163215
DOI:	10.1016/j.enpol.2018.08.053
Journal or Publication Title:	Energy Policy
Volume:	123
Page Range:	S. 390 - 404
Date:	2018
Publisher:	ELSEVIER SCI LTD
Place of Publication:	OXFORD
ISSN:	1873-6777
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Center of Excellence C-SEB Faculty of Management, Economics and Social Sciences > Business Administration > Information Systems > Chair for Information Systems and Systems Development
Subjects:	Economics
Uncontrolled Keywords:	Keywords Language TIME-SERIES; SHORT-TERM; SPOT PRICES; MARKET; COMBINATION; PREDICTION; COMPONENT Multiple languages Economics; Energy & Fuels; Environmental Sciences; Environmental Studies Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/16321