Work detail

Impact of Czech intraday market on the electricity prices

Author: Bc. Samuel Béreš
Year: 2017 - summer
Leaders: doc. PhDr. Ladislav Krištoufek Ph.D.
Work type: Bachelors
Language: English
Pages: 72
Awards and prizes:
Abstract: We analyse Czech intraday market for electricity and its impact on dayahead
prices. We inspect effect of fundamental drivers of price deviation
between intraday and day-ahead market in form of positive and negative
forecast errors and examine intraday price’s role in explaining next trading
period’s day-ahead price. Our findings suggest photovoltaic and load forecast
errors to be most statistically significant fundamental factors, together
with autoregressive term and day-ahead price, determining intraday market
price deviation from day-ahead. Variables’ influences on intraday market
are in accordance with hypothesised expectations, except for the effect of
export and excessive import of electricity to and from German TSO, 50
Hertz, and extreme day-ahead prices. We confirmed symmetric effects of
forecast errors on intraday price for all observed variables. In the second
part, intraday prices are found to be statistically significant factor affecting
next day’s day-ahead market price. The results support the conclusion that
Czech spot market for electricity possesses mean-reverting properties.


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