Stochastic Modelling of Photovoltaic Power Generation and Electricity Prices

26 Pages Posted: 7 Mar 2017 Last revised: 19 Jul 2017

See all articles by Fred Espen Benth

Fred Espen Benth

University of Oslo

Noor Ibrahim

Islamic Science University of Malaysia; Department of Mathematics, University of Oslo

Date Written: June 12, 2017

Abstract

We 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 the sun intensity as a seasonal function and model the deseasonalized data by 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 depending 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.

Keywords: Photovoltaic power generation, stochastic modelling, time series, electricity prices, quanto options

JEL Classification: C1, C22, C51, C53, G10, Q4

Suggested Citation

Benth, Fred Espen and Ibrahim, Noor, Stochastic Modelling of Photovoltaic Power Generation and Electricity Prices (June 12, 2017). Available at SSRN: https://ssrn.com/abstract=2927921 or http://dx.doi.org/10.2139/ssrn.2927921

Fred Espen Benth (Contact Author)

University of Oslo ( email )

Center of Mathematics for Applications
Oslo, N-0317
Norway

Noor Ibrahim

Islamic Science University of Malaysia ( email )

Nilai, Negeri Sembilan Darul Khusus 71800
Malaysia
+606-798 6510 (Phone)
+606-798 6566 (Fax)

Department of Mathematics, University of Oslo ( email )

Blindern, N-0162, Os
Norway

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
126
Abstract Views
594
rank
247,986
PlumX Metrics