Investigating the Intraday Continuous Electricity Market using Auto Regression Integrated Moving Average Model with Exogenous Inputs

Due to the integration of a growing number of renewables into the power system, the demand for price forecasting methods to optimize the supply strategy on the EPEX spot market is increasing. In this paper, the physical behavior of the intraday continuous price of the EPEX spot market is investigated using the auto-regression integrated moving average model with exogenous inputs (ARIMAX), which is a statistical model approach. The forecasts are based on past price behavior and the impact of exogenous parameters. Therefore, some physical interpretations can be made which depend on the selected exogenous parameters. The forecast results of the intraday continuous price are evaluated depending on the hour of the day, the day of the week, and the week of the year. Besides, the influence of the season is taken into account.