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Electricity Forward Curves with Thin Granularity

We put forward a constructive definition of electricity forward price curve with cross-sectional timescale encompassing hourly frequency upward. The curve is jointly consistent to both risk-neutral market information, as represented by base load and peak load futures quotes, and historical market information, as mirrored by periodical patterns exhibited by time series of day-ahead prices. On a methodological ground, we combine non-parametric filtering with monotone convex interpolation in a way that the resulting forward curve is path wise smooth and monotonic, cross-sectionally stable, and time local. On an empirical ground, we exhibit these features in the joint context of EPEX Spot and EEX Derivative markets. A back testing analysis assesses the relative quality of our forward curve estimate compared to the benchmark market model of Benth et al. (2007).