OptimisingPowerTrading
Figure 7a: Power Consumption (01.09.08) Figure 7b: Difference Load Prognosis vs Realisation
Source: DeutscheBörse Source: DeutscheBörse
The consumption prognosis model is based on a library of powertrading.Suchdatacaneitherbecollected,cleansed,and
power consumption on an hourly resolution for each day of aggregated or is the output of fundamental and statistical
the year in order to accommodate seasonal effects as well as models.Evenifforecastsaregenerallynotabletomatchactual
daystructures.Differentpowerconsumptionpatternsexistand figures, improving fundamental models will allow for better
needtobeconsideredforeachdayoftheweek. projectionsandresultinbestestimatesforthemarketplace:the
Due to the fact that this is a consumption model input more complex the rules for data collecting, cleansing and
parameters with forecasting character are necessary. The aggregatingandthemorecomplexthestatisticalmodelsused,
consumptionprognosismodelforGermanyofDeutscheBörse usuallythebetterthetheoreticalresults.Nexttothechallenge
isbasedontwoforecastinginputparameters:temperatureand ofreachingsuchcomplexity,thefurtherchallengeistocreate
radiation forecasts. The output of a power consumption datatransparencysothatusersunderstandandtrustdelivered
forecasting model should be a seven to ten day consumption resultsbasedonfundamentaldatamodels.
forecastinanhourlyresolutioninMW. Energy Facts from Deutsche Börse is a very advanced tool
Figures 7a/7b shows the goodness of fit of a one-factor providing in-depth energy-related information for power
regression model for the power consumption forecast for tradersandanalysts.Onasingleweb-basedplatform,market
GermanyofDeutscheBörse.Thereisamaximumerrorof4% participants have access to a new and most comprehensive
andameanerrorof2%,whichisacceptableatall.Deutsche service and receive an up-to-the minute rundown of
Börsewillcontinuetoimproveitsmodelscontinuously,e.g.by fundamentalfactorsfortheEuropeanenergymarket.Alldata
addingadditionalparameter. arepresentedinaconsolidatedandstructuredway,areedited
inastandardisedformat,quality-assuredanddeliveredinreal
CO
2
Consumption Prognosis time thanks to continuous updating. All users also receive
Another important asset class closely linked to the urgent trade-related reports as soon as they are made public.
European power markets is carbon emissions. Carbon EnergyFactscanbeobtainedviaawebterminal,viaXMLdata
emissions as an asset class has been created through a feedorviatheDeutscheBörseCEFdatafeed.
regulatory framework based on the implementation of the Butevenifforecastingusingfundamentaldatahasabetter
Kyoto goals by country amongst others using a cap–and- chance of a high goodness of fit, markets continue to have
tradingschemenamelytheEUEmissionsTradingScheme.For their own rules with prices equally subject to influences from
powertradersandanalysts,actualcarbonconsumptiondata psychological factors of market participants, which nobody
per industry and country is of importance in order to assess was able to model so far. Fundamental data remains
prices for related carbon allowances and credits and their ‘fundamental’.
•
respectiveimpactonpowerprices.DeutscheBörseiscurrently
working on a fundamental and statistical model based on
Dr. Albert Jürgen Enders & Mario Michael Schultz,
actualcarbonconsumptiondataasaninputparameterfora
DeutscheBörseAG-MarketData&Analytics.TheMarket
two-step regression model to calculate the total carbon
Data&Analyticsdivisionisoneoftheworld’sleading
consumptionwithinEU-27innear-time.
providersofmarketdataoninternationalstockexchanges
The regression model is the basis for scenario analysis for
andtradingplatformsandsuccessfullysuppliesinformation
future carbon consumptions. Deutsche Börse plans to launch
providers,tradingdesks,analystsandissuerswithreal-time
thismodelbeginning2010.
tradingdata,indicesandothertrading-relevant
informationproducts.Onthestrengthofitsknow-howand
Conclusion
inresponsetothehugedemandforawide-rangingenergy
Using a host of fundamental data helps power traders and
dataservicerelevanttotraders,MarketData&Analytics
analyststobetterassesstheimpactofdifferenteconomicfactors
developed Energy Facts.
on prices for power at all times and to hence optimise their
www.deutsche-boerse.com
28 worldPower2009
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