Data-driven structural modeling of electricity price dynamics

In many countries, electricity prices on day-ahead auction markets result from a market clearing designed to maximize social welfare. For each hour of the day, price can be represented as intersection supply and demand curve. Structural models reflect this formation mechanism are widely used in prospective studies guiding long-term decisions (e.g. investments design). However, simulating curve these proves challenging since estimating sell orders it comprises (i.e. offer corresponding quantities) typically requires formulating numerous techno-economic hypotheses about power system assets behaviors participants. Due imperfect competition, real differ theoretical optimum, but modeling difference is not straightforward. The objective work propose model simulate that account for optimal economic dispatch generation units, while also making use historical prices. Inferring data especially important when all information made public bidding strategies) or due difficulty accurately accounting qualitative notions quantitative power). paper we method parametrization associated with production units. estimation algorithm makes possible mitigate requirement analytic formulation above-mentioned aspects take advantage ever-increasing volume available systems technical data). Parametrized possibility various factors modular fashion, such strategic behavior proposed approach validated using related French system, period 2015 2018.