Title: Dependence analysis of aggregate zonal imbalance in the Italian electricity market
Authors: Aurora Gatto - University of Salento (Italy) [presenting]
Fabrizio Durante - University of Salento (Italy)
Francesco Ravazzolo - BI Norwegian Business School (Norway)
Abstract: The purpose is to analyse the features and the dynamics of the Italian aggregate zonal electricity imbalance, that is the algebraic sum, changed in sign, of the amount of electricity procured by the Italian national operator from a given Italian electricity macro-zone. In particular, the problem of determining possible correlations and dependencies with the aggregate zonal imbalance in electricity markets is considered. A copula-based model is provided in order to understand the dependence and association between the aggregate zonal imbalance and other variables of interest such as forecasted demand, forecasted wind and solar PV generation. Thanks to the flexibility of this approach, we have identified the non-linear linkage between the aggregate zonal imbalance and the other variables of interest by means of a multivariate approach.