Modelling of prices using the volume in the Norwegian regulating power market

A statistical model of the regulating market based on the regulating volume is proposed. The modelling process is divided into two steps; a long term and a short term study. The long term study is based on recorded data for 5 years. This analysis provides a statistical model of regulating prices and volumes for the whole market for the considered period. The combination of the long term model with expected regulating states and volumes is used in order to generate short term scenarios of the regulating market. The regulating state determination uses a Seasonal Auto Regressive Integrated Moving Average (SARIMA) process. The regulating volume scenarios are generated by using the statistical properties of the regulating volume based on recorded data. The proposed model is based on data from southern Norway and the result is a model estimating the regulating prices using the estimated regulating volumes. The resulting model makes it possible to estimate regulating market prices under changing conditions, like those occurring when different national markets are integrated.