Stochastic Modeling of Photovoltaic Power Generation and Electricity Prices

33 Pages Posted: 8 Sep 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: September 6, 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 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.

Keywords: photovoltaic (PV) power production, electricity prices, quanto options, skewed normal distribution, autoregressive-moving-average (ARMA) time series

Suggested Citation

Benth, Fred Espen and Ibrahim, Noor, Stochastic Modeling of Photovoltaic Power Generation and Electricity Prices (September 6, 2017). Journal of Energy Markets, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3032954

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

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