Data-Driven Electricity Market Price Risk Evaluation Based on Price Elasticity Indicator

The violent electricity price fluctuations pose negative affections on the market operation, especially as renewable energy with high uncertainty increases. The accurate evaluation of price risks can aid market operators in taking prompt measures to maintain market stability, and also assist market participants in avoiding economic losses. To address this challenge, we propose a data-driven framework to evaluate the market price risk based on real price data. First, a novel price elasticity indicator is developed, which is calculated based on the publicly available data of supply and demand bidding curves. Then, the price risk evaluation rule based on elasticity is proposed in a data-driven way. Empirical analysis demonstrates the high effectiveness of the proposed method.