Türkiye gün öncesi elektrik piyasasında saatlik fiyatların uzun dönemli olarak tahmin edilmesi için fundamental bir yöntem geliştirilmesi
Development of a fundamental model for forecasting long-term hourly prices in the Turkish day-ahead electricity market
Yazar: OZAN KORKMAZ
Danışman: PROF. DR. BİHRAT ÖNÖZ
İstanbul Teknik Üniversitesi / Lisansüstü Eğitim Enstitüsü / Enerji Bilim ve Teknoloji Ana Bilim Dalı / Enerji Bilim ve Teknoloji Bilim Dalı
Derece: Doktora, 2024
Konu: Enerji = Energy

Özet:
Türkiye'de elektrik sektörü son yıllarda önemli oranda büyümüş ve önemli değişimler geçirmiştir. Bu değişimlerin sonucunda, elektrik artık farklı organize spot piyasalarda alınıp satılabilen bir emtia haline gelmiştir. Yaşanan bu gelişmelerle birlikte elektrik fiyatlarının tahmin edilmesi piyasadaki pek çok aktör için kritik bir öneme sahip olmuştur.

Elektrik fiyat uzun dönemli tahmini konusunda dünyada gelişmiş bir akademik literatür bulunmasına karşın, bu konuda ülkemizde hem piyasalarda hem de akademik literatürde önemli bir boşluk bulunmaktadır. Elektrik piyasalarında fiyatların doğru tahmin edilmesi hem elektriğin daha geleneksel emtialardan farklı olan özellikleri hem de Türkiye Elektrik Piyasası'nın kendine özgü nitelikleri yüzünden çeşitli zorluklar barındırmaktadır. Literatürde görülen bu boşluğun hem bu zorluktan hem de Türkiye Gün Öncesi Piyasası'nın göreceli olarak yeni bir piyasa olmasından kaynaklandığı ileri sürülebilir.

Her bir elektrik piyasası birbirinden farklı özellikler barındırmaktadır. Bu nedenle, bir piyasa için oluşturulmuş olan modelin başka piyasalarda doğru sonuçlar vermesi mümkün olmayabilir. Türkiye Piyasası da hidroelektrik santrallerinin çalışma rejimleri, yan hizmetler piyasasının kuralları ve zaman zaman piyasaya yapılan kamu müdahaleleri gibi nedenlerle pek çok başka piyasadan ayrılmaktadır. Son yıllarda artan rüzgâr ve güneş enerjisi yatırımlarıyla birlikte kesintili üretim kaynaklarının piyasadaki payının artması da fiyat tahminini zorlaştıran bir unsur olarak karşımıza çıkmaktadır. Bu nedenlerle, Türkiye Elektrik Piyasası'nda gerçeğe yakın uzun dönemli tahminler yapılması için bu piyasanın özel koşullarını dikkate alacak bir modelin geliştirilmesi gerekmektedir. Halihazırda, Türkiye Piyasası için özel olarak oluşturulmuş, çok farklı faktörleri dikkate alan uzun dönemli bir akademik fiyat tahmin modeli bulunmamaktadır.

Bu doktora tezinde Türkiye Gün Öncesi Piyasası'nda orta ve uzun dönemli elektrik fiyat tahmini amacıyla kullanılacak bir fundamental piyasa modeli önerilmektedir. Model, Türkiye Piyasası için oluşturulmuş ilk uzun dönemli fundamental model olacak olması yönünden önemlidir. Önerilen yöntem kapsamında elektrik fiyat oluşumunda etkili olan pek çok temel faktör ayrı ayrı modellenerek saatlik arz ve talep eğrileri oluşturulmuştur. Model, her bir saat için arz ve talebin kesiştiği yerde tahmini fiyatı bulmaktadır. Modellenen parametreler arasında talep, kurulu güç, santral kapasite faktörleri ve yakıt fiyatları gibi değişkenler bulunmaktadır. Fiyatın oluşumunu etkileyen faktörlerin ayrı ayrı modellenmesi her bir faktörün fiyat oluşumuna etkisini ölçmeyi de mümkün kılmaktadır. Model 2017 ve 2020 yılları arasındaki veriler kullanılarak kalibre edilmiş ve 2021 ve 2022 yılları için gerçekleşmiş verilerle test edilmiştir. Modelin tahmin performansı çeşitli farklı hata ölçütleri kullanılarak değerlendirilmiştir.

Daha sonra, geliştirilen model kullanılarak 2035 yılına kadar örnek bir tahmin çalışması yürütülmüş ve tahminde Türkiye'nin resmi kurulu güç, elektrik talebi artışı projeksiyonlarından yararlanarak varsayımlar oluşturulmuştur. Simülasyon çalışması modelin işleyişine bir örnek teşkil etmekte ve piyasa koşullarının resmi hedeflere uyumlu olarak ilerlemesi durumunda fiyatların gelişiminin nasıl olacağını göstermektedir.

Yürütülen modelleme çalışmasıyla birlikte hem resmi kurulu güç ve elektrik talebi artış projeksiyonlarının spot elektrik fiyatlarına nasıl yansıyabileceği açıklanırken hem de Türkiye Piyasası'nda uzun dönemli elektrik fiyat tahmini konusunda bulunan boşluğun doldurulmasına katkıda bulunmak ve bu konuda ileride yapılacak çalışmalar için bir zemin oluşturmak hedeflenmiştir.

Abstract:
The Turkish electricity market grew rapidly and underwent a significant process of reforms towards liberalisation since the 1980's which accelerated following the adoption of the Electricity Market Law No. 4628 in 2001. As a result of the rapid growth in electricity demand and the ongoing reforms, Türkiye currently has a complex electricity market with a diverse set of participants in each different segment of the market including as generation, transmission, wholesale trade, retail trade and distribution.
In line with the rapid growth in electricity demand, the total installed capacity of the country increased from 27.3 GW in 2000 to 103.8 GW at the end of 2022, with an annual compound growth rate of 6.3%. Electricity generation increased from 124,701 GWh to 326,005 GWh in the same time period.

As of April 2023, there are 4 state-owned and 1,250 private license holders active in the electricity generation market. The Electricity Generation Company (EÜAŞ) owns and operates the state-owned power plants. Following July 2018, the entity has also been responsible for the wholesale trading responsibilities formerly held by the Turkish Electricity Trading Company (TETAŞ).

TEİAŞ is the state-owned monopoly that owns and operates the electricity transmission sector in the country. It is also responsible for the operation of the balancing power market and the ancillary services market.

Both private and state-owned companies are active in wholesale activities. EÜAŞ (after July 2018) is the publicly owned wholesale company responsible for selling electricity to distribution and retail companies. As of April 2023, there are 205 licenced private companies in the wholesale market.

Since the conclusion of the privatization process in 2013, electricity distribution activities are being carried out by 21 privatized regional distribution companies (DSO). These companies also have retail arms which are legally unbundled and serve as last resort suppliers in their respective regions.

Companies with a retail license can sell electricity to end-users without distribution zone restrictions. Consumers who have an electricity consumption that exceeds the annual eligible consumer limit have the right to choose their suppliers. As of 2023, the eligible consumer limit is 1,000 kWh per year.

The Energy Market Operation Company (EPİAŞ) is the market operator, responsible for operating the day-ahead and intraday markets in the country. The company also operates the spot natural gas and power futures markets.

As per the current market structure, it is possible to engage in electricity trade through a multitude of different markets. Whereas financial trade is mainly carried out through the derivative markets under Borsa İstanbul, physical electricity trade for different time periods is carried out through bilateral agreements, organized spot markets and real-time markets.

The increasing complexity of the market structure over the last decade necessitated the development of new electricity price forecasting models for a variety of actors in the market such as generation companies, distribution and retail companies, large consumers and regulators. There remains a significant gap in Türkiye's energy market and the academia especially regarding long-term electricity price forecasting despite the comprehensive literature that has been amassed throughout the world.
There are several challenges related to electricity price forecasting due to some peculiar characteristics of electricity as a commodity and some features of the Turkish electricity market. The current gap in the literature thus arises from these inherent difficulties of electricity price forecasting and the Turkish Day-Ahead Market being a relatively new market. 

Each electricity market is structured differently and has features different from others. Therefore, it should not be expected for a model developed for a particular market to perform as well in other markets. The Turkish market differs from other markets due to the special operating regimes of reservoir hydropower plants and the sporadic goverments interventions made into the market. Moreover, the increasing share of generation from intermittent energy sources such as wind and solar in recent years has added another layer of difficulty in accurately predicting market prices. Due to these reasons, it is essential to develop a forecasting model specifically for the Turkish market which can account for the special characteristics of the market. There is currently a lack of an academically recognized long-term electricity price forecasting model developed specifically for the Turkish market which combines a multitude of different variables. 
A fundamental market model for medium and long-term electricity price forecasting in the Turkish Day-Ahead Market is being proposed under the doctoral thesis. The model is significant as the first long-term fundamental electricity price forecasting model developed for Türkiye. 

The forecasting methodology is based on the market equilibrium model which assumes that price formation should occur at the interception of supply and demand curves in competitive markets. The fundamentals that affect price formation are modeled independently and then combined under the market equilibrium model to form the day-ahead market price for each hour of the determined simulation period.

This is done by using the merit order curve. The curve is assembled by sorting all the generators in the market according to their short run marginal costs and available capacities. It is assumed that the marginal costs of the last generation unit activated to meet the demand for each hour should equal the market price for that hour. Under perfect market conditions such a situation is expected to occur as a result of all the actors in the market acting to maximize their profits.

A detailed market database including the technical specifications of each thermal power has been compiled for this reason. By doing this, it becomes possible to calculate the short-run marginal cost of each different power plant in the country under different assumptions including fuel costs, carbon costs and transmission costs. 

Other parameters that need to be modelled include hourly electricity demand and hourly generation from different renewable energy sources. The different forecasting approaches employed in the study are discussed at length under the study. The module based appoach employed under the model also makes it possible to single out and assess the impact of each individual variable on price formation.

Although the output of the model includes hourly day-ahead market prices, hourly generation and GHG emission forecasts are also made available under the simulation studies. The simulation results obtained from the model can provide invaluable insights for power plant dispatch in the short term, for the optimization of failure and maintenance schedules, energy costs and fuel purchase needs for the medium term and for making investment decisions and general energy system planning over the longer term. 

The proposed model has been calibrated by using the data between 2017 and 2020 and the different modules under the model have been tested using the data from 2021 and 2022. The forecasting performance of the model has been evaluated by using different error criteria such as OMYH and KOKH. 

A sample simulation study spanning the years between 2023 and 2035 has also been carried out under the study. The official electricity demand and capacity increase projections have been used for the sample study which aims the show the development of electricity prices, generation and GHG emissions over the long-term if the official targets are reached.
The thesis study is organized as in the following manner:

The first section of the study introduces the topic and summarizes the main features of the forecasting model proposed in the study. This section also includes a literature review covering the different types of electricity price forecasting models developed globally and for Türkiye.

The second section includes a summary of the history and current structure of the Turkish Electricity Market and emphasizes the main energy targets being developed by the policy makers. This section also summarizes the operation of the spot electricity markets in the country.

The following section includes a detailed methodology of the model including subsections for explaining each different module under the model such as electrity demand forecasting and renewable energy forecasting.

The fourth section includes the results from the aforementioned tests of the model which is completed for 2021 and 2022. 

The fifth section includes a discussion of the main assumptions and results from the sample long-term simulation study made by using the model. The main inputs included here include electricity demand, renewable energy capacity increases and fuel prices whereas the main outputs include day-ahead market prices, electricity generation by source and GHG emissions. 

Finally, the last section of the study includes a brief discussion of the study and highlights some of the main takeaways and potential development areas under the model.
The main aim of this thesis study is to address a gap in the Turkish Electricity Market regarding long-term electricity price forecasting. The proposed model under the study offers a proven fundamental price forecasting model for the market which has been tested against actual data. The developed model can potentially contribute to new studies to be made on the subject in the following years.