Project: Medium-term modelling of meteorological variables and electricity prices using (multivariate) trawl processes and ambit fields
Supervisors: Almut Veraart (Imperial), Olivier Feron (EDF) & Thomas Deschatre (EDF)
Project Description:
Due to climate change and the growing share of renewable energy production, there is a strong and increasing link between electricity prices and meteorological variables, as weather conditions directly influence energy generation from sources like wind and solar.
This project aims to develop new stochastic models based on trawl processes, ambit fields and network/graph stochastic processes that capture these dynamics over a medium-term time horizon (5-10 years), allowing for simulation studies to better understand and forecast fluctuations in supply and demand.
In particular, the project seeks to answer (some of) the following questions: How can we model spatial dependency (e.g. temperature at different grid points) for the same variable with trawl processes of ambit fields? How can we model dependency between variables of different natures (price and temperature, temperature and precipitation)?
A sufficiently precise and simple model would make it possible to answer the following operational questions:
How do prices react to multivariate weather extremes (heat wave + low wind for example)? Is an average temperature over a region sufficient to explain the price of electricity and/or overall consumption, or is it necessary to consider all the variables in a grid?
