Generation of regulating power price scenarios

This paper presents a model of the regulating power market prices, based on ARIMA processes. The model can be used when creating scenario trees that are used in stochastic programming problems to generate optimal bids to the regulating power market. The model considers spot market price correlation and the design of the regulating power market, including the delay time of release of prices and submission time. The usual estimation methods associated with stochastic processes are not sufficient for this application. Therefore, new parameter estimation methods have been developed for the ARIMA process. The model and the estimation methods are used in a case study, where real data from the Nordic power market is used. A conclusion is that ARIMA processes are possible to use for this kind of models