Strompreismodellierung : Berücksichtigung empirischer Verteilungen für nicht-speicherbare Güter am Beispiel Elektrizität

Die den Strompreis bedingenden besonderen Merkmale des nicht-speicherbaren Produktes Elektrizität werden in diesem Artikel aus empirischer Sicht näher betrachtet und evaluiert.
This article deals with price modelling for non-storable commodities, using the example of electricity, whilst taking into account empirical distributions. With the liberalisation of energy markets in the past number of years, electricity has become a commodity, very much like copper, oil or orange juice. Yet a key difference to most other commodities is that electricity is nonstorable. As a consequence, market equilibriums have to be established for each hour of a day and electricity prices may vary from one hour to the next. The article describes a method to analyse and simulate these hourly prices using a combination of various modern econometric techniques. These allow accounting for deterministic and cyclical effects, non-normality in distributions, and correlation of prices between hours and autocorrelation of prices for subsequent days.
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