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Stochastic modeling of photovoltaic power generation and electricity prices

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dc.FundingDetailsNorges Forskningsr�d
dc.FundingDetailsThe authors thank Professor R�diger Kiesel and Nikolaus Luckner from the University of Duisburg-Essen for providing electricity spot price data. Financial support from FINEWSTOCH, a research project funded by the Norwegian Research Council, is also acknowledged.
dc.citedby3
dc.contributor.affiliationsFaculty of Science and Technology
dc.contributor.affiliationsUniversity of Oslo
dc.contributor.affiliationsUniversiti Sains Islam Malaysia (USIM)
dc.contributor.authorBenth, FEen_US
dc.contributor.authorIbrahim, NAen_US
dc.date.accessioned2024-05-29T02:53:03Z
dc.date.available2024-05-29T02:53:03Z
dc.date.issued2017
dc.description.abstractWe propose a stochastic model for the maximal production of photovoltaic (PV) power on a daily basis, based on data from three transmission system operators in Germany. We apply sun intensity as a seasonal function and model the deseasonalized data using an autoregressive process with skewed normally distributed noise, with seasonal variance to explain the stochastic dynamics. It is further demonstrated that the power spot prices are negatively dependent on the PV production. As an application of our results, we discuss virtual power plant derivatives and energy quanto options, as well as continuous-time stochastic processes for PV and power spot price dynamics.en_US
dc.description.natureFinal
dc.identifier.citationVOLUME 10, NUMBER 3 (SEPTEMBER 2017) PAGES: 1-33 DOI: 10.21314/JEM.2017.164en_US
dc.identifier.doi10.21314/JEM.2017.164
dc.identifier.epage33
dc.identifier.isbn1756-3615
dc.identifier.issn1756-3607
dc.identifier.issue3
dc.identifier.scopusWOS:000412338000001
dc.identifier.scopus2-s2.0-85059814480
dc.identifier.spage1
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85059814480&doi=10.21314%2fJEM.2017.164&partnerID=40&md5=c37b62a3dce5f2ca9a5d362a05adf1d7
dc.identifier.urihttps://www.risk.net/journal-of-energy-markets/5327901/stochastic-modeling-of-photovoltaic-power-generation-and-electricity-prices
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/11361
dc.identifier.volume10
dc.languageEnglish
dc.language.isoen_USen_US
dc.publisherIncisive Mediaen_US
dc.relation.ispartofJournal Of Energy Marketsen_US
dc.sourceWeb Of Science (ISI)
dc.subjectphotovoltaic (PV) power productionen_US
dc.subjectelectricity pricesen_US
dc.subjectquanto optionsen_US
dc.subjectskewed normal distributionen_US
dc.subjectautoregressive-moving-average (ARMA) time seriesen_US
dc.titleStochastic modeling of photovoltaic power generation and electricity pricesen_US
dc.typeArticleen_US
dspace.entity.typePublication

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