Complexity and Persistence of Price Time Series of the European Electricity Spot Market

Abstract

The large variability of renewable power sources is a central challenge in the transition to a sustainable energy system. Electricity markets are central for the coordination of electric power generation. These markets rely evermore on short-term trading to facilitate the balancing of power generation and demand and to enable systems integration of small producers. Electricity prices in these spot markets show pronounced fluctuations, featuring extreme peaks as well as occasional negative prices. In this article, we analyse electricity price time series from the European EPEX market, in particular the hourly day-ahead, hourly intraday, and 15-min intraday market prices. We quantify the fluctuations, correlations, and extreme events and reveal different time scales in the dynamics of the market. The short-term fluctuations show remarkably different characteristics for time scales below and above 12 hours. Fluctuations are strongly correlated and persistent below 12 hours, which contributes to extreme price events and a strong multifractal behaviour. On longer time scales, they get anti-correlated and price time series revert to their mean, witnessed by a stark decrease of the Hurst coefficient after 12 hours. The long-term behaviour is strongly influenced by the evolution of a large-scale weather patterns with a typical time scale of four days. We elucidate this dependence in detail using a classification into circulation weather types. The separation in time scales enables a superstatistical treatment, which confirms the characteristic time scale of four days, and motivates the use of q-Gaussian distributions as the best fit to the empiric distribution of electricity prices.

Persistence in complex systems

“…Electricity market has been analyzed with DFA and MF-DFA and related techniques, at different levels. For example, the long-term persistence characteristics of the European Electricity market spot prices have been studied in [271,272]. The US Electricity market persistence has been analyzed in [273] and there are also works dealing with national electricity markets such as in the Czech Republic [274].…”

Change of persistence in European electricity spot prices

“…First, unlike many other commodities, electricity prices can become negative. Secondly, electricity prices can display very short burst, where the price can increase by one order of magnitude [27].…”

“…We will address this last point here and study the changing behaviour of correlations in price time series in two distinct scales: hourly scale (< 12 hours) and daily scale (12 to 48 hours). We point the reader to Han et al [27] for a discussion on the distribution and multifractality of price time series. Price extrema can be very large, but are rare events.…”

“…Furthermore, it cannot explain the occurrence of negative prices or extremely high prices [24] and it does not capture the fluctuations around the general trend. In fact, any close examination of price time series unveils its strong stochastic nature [25][26][27].…”