  The large variability of renewable power sources is a central challenge in
the transition to a sustainable energy system. Electricity markets are central
for the coordination of electric power generation. These markets rely evermore
on short-term trading to facilitate the balancing of power generation and
demand and to enable systems integration of small producers. Electricity prices
in these spot markets show pronounced fluctuations, featuring extreme peaks as
well as occasional negative prices. In this article, we analyse electricity
price time series from the European EPEX market, in particular the hourly
day-ahead, hourly intraday, and 15-min intraday market prices. We quantify the
fluctuations, correlations, and extreme events and reveal different time scales
in the dynamics of the market. The short-term fluctuations show remarkably
different characteristics for time scales below and above 12 hours.
Fluctuations are strongly correlated and persistent below 12 hours, which
contributes to extreme price events and a strong multifractal behaviour. On
longer time scales, they get anti-correlated and price time series revert to
their mean, witnessed by a stark decrease of the Hurst coefficient after 12
hours. The long-term behaviour is strongly influenced by the evolution of a
large-scale weather patterns with a typical time scale of four days. We
elucidate this dependence in detail using a classification into circulation
weather types. The separation in time scales enables a superstatistical
treatment, which confirms the characteristic time scale of four days, and
motivates the use of $q$-Gaussian distributions as the best fit to the empiric
distribution of electricity prices.
