Volume 64

Electricity Market Modeling at the European Energy Exchange: Methods, Market Dynamics, and Renewable Impacts Yilin Guo, Zhengmeng Hou, Qichen Wang, Liangchao Huang, Tianle Shi, Lin Wu, Jinhua Mao

Abstract

The European Energy Exchange (EEX) is the leading electricity trading platform in Europe, covering spot, intraday, and futures markets. Owing to the non-storability of electricity, high renewable penetration, frequent price spikes, and evolving regulatory frameworks, EEX provides a representative setting for electricity market modeling. This paper reviews major modeling approaches applied to the EEX. For spot markets, econometric time-series models, jump-diffusion processes, regime-switching frameworks, and machine learning methods are compared in terms of their ability to capture seasonality, volatility, price spikes, and negative prices, while for futures markets, studies on forward pricing, risk premiums, and derivative valuation are examined. The impacts of renewable energy are highlighted, showing that wind and solar generation reduce average prices, increase volatility due to forecast uncertainty, and stimulate demand for renewable-linked products. Overall, the synthesis indicates that hybrid and policy-sensitive models are essential for forecasting, risk management, and policy evaluation in electricity markets under energy transition.

Keywords European Energy Exchange (EEX), electricity market modeling, spot and futures prices, renewable energy impacts, risk premium, market volatility