empfohlenes Vorwissen

Good knowledge of linear models and autoregressive processes. Experienced R knowledge. Sucessful participation in Econometrics of Electricity Markets is very helpful.

Abstract

The purpose of this seminar is to provide an advanced understanding of modeling and forecasting methods in energy markets, esp. concerning probabilistic forecasting. The students apply sophisticated forecasting methods to real data (e.g. electricity or natural gas prices, electricity load, wind and solar power production) using the statistical Software R. They write a report and present their findings.

The focus of the seminar is placed especially on probabilistic forecasting with different applications in e.g. electricity price and electricity load or wind and solar power production forecasting. A particular attention is given to regression-based modeling methods for electricity market data.

Lehrinhalte

1. Introduction to probabilistic forecasting
2. Forecasting evaluation in probabilistic forecasting frameworks
3. Applications to energy market data

Literaturangaben

• Hong, T., Pinson, P., Fan, S., Zareipour, H., Troccoli, A., & Hyndman, R. J. (2016). Probabilistic energy forecasting: Global energy forecasting competition 2014 and beyond.
• Nowotarski, J., & Weron, R. (2017). Recent advances in electricity price forecasting: A review of probabilistic forecasting. Renewable and Sustainable Energy Reviews.

didaktisches Konzept

In the first few weeks the students learn the concepts of probabilistic forecasting in classes. Afterwards they apply the methods to energy market data using R, write a report and present their results.

Hörerschaft

• BWL-EaF-Ma-2015 > Seminarbereich > (2.-3. Fachsemester, Wahlpflicht) Modul "Advanced Forecasting in Energy Markets"
• ECMX-Ma-2019 > Wahlpflichtbereich > ME5 Economics > (1.-3. Fachsemester, Wahlpflicht) Modul "Advanced Forecasting in Energy Markets"
• MuU-Ma-2013 > Seminarbereich Märkte und Unternehmen > (2.-3. Fachsemester, Wahlpflicht) Modul "Advanced Forecasting in Energy Markets"
• VWL-Ma-2009-V2013 > Seminarbereich > (2.-3. Fachsemester, Wahlpflicht) Modul "Advanced Forecasting in Energy Markets"