Delivering electricity market insights in Northern Italy

F. D. Grosso
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Abstract

This paper assesses the robustness and predictive power of a model comprising a complete set of variables affecting the electricity prices in Northern Italy. The Italian market is based on an implicit auction mechanism via six zonal prices, whose weighted average derives the System Marginal Price, or Prezzo Unico Nazionale (PUN). Given the focus on Northern Italy, as the country’s industrial core and main demand center, this work considers an exhaustive set of exogenous variables affecting a specific market zone, i.e. the North Zone. The import from bordering countries and market zones, the impact of non-programmable renewables, the load factor, the weather data and the prices of underlying commodities have been included. The econometric modelling of an ARMAX process for North Zone prices results in an under performance compared to a standard ARMA, to be fine-tuned, with potential implications regarding the reliance on timely adjustments on market information at trading floor level.
提供意大利北部电力市场洞察
本文评估了一个包含影响意大利北部电价的完整变量集的模型的稳健性和预测能力。意大利市场是基于隐性拍卖机制,通过六个区域价格,其加权平均值得出系统边际价格,或Prezzo Unico Nazionale (PUN)。考虑到意大利北部作为该国的工业核心和主要需求中心,本研究考虑了影响特定市场区域(即北部区域)的一系列外生变量。从周边国家和市场区域的进口、不可编程可再生能源的影响、负荷系数、天气数据和基础商品的价格都已包括在内。与标准ARMA相比,北区价格的ARMAX过程的计量经济模型导致表现不佳,需要进行微调,这可能会影响对交易大厅市场信息及时调整的依赖。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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