Likron spot price forecast model
An important reference in the power markets are the hourly prices that result from the day-ahead auction on EPEX SPOT (Phelix index).
By means of our in-house model we forecast the hourly prices as precisely as possible. The forecast range is from a few hours to several days ahead. Our calculation logic uses freely available market data (transparency data regarding availability, historical market prices and auction results, cross-border capacities) as well as weather and load forecasts.
The increasing fluctuating generation from renewable energy sources (wind and solar) plays an important role. The correct detection of special market situations (holidays, power plant failures, negative prices etc.) as well as the calibration methodology of the model are critical success factors for high-quality forecasts.
Various trading strategies can be derived based on the model results. Depending on the risk appetite and access to the various possible commercial trading products (e.g. European spot exchanges, OTC trading, financial trading of EEX futures, etc.) different approaches are possible.
Customers: Portfolio managers, funds