Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain
The energy sector is moving towards a low-carbon, decentralised, and smarter network. The increased uptake of distributed renewable energy and cheaper storage devices provide opportunities for new local energy markets. These local energy markets will require probabilistic price forecasting models to...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-08-01
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| Series: | Forecasting |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-9394/3/3/38 |
| _version_ | 1797519288962121728 |
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| author | Stephen Haben Julien Caudron Jake Verma |
| author_facet | Stephen Haben Julien Caudron Jake Verma |
| author_sort | Stephen Haben |
| collection | DOAJ |
| description | The energy sector is moving towards a low-carbon, decentralised, and smarter network. The increased uptake of distributed renewable energy and cheaper storage devices provide opportunities for new local energy markets. These local energy markets will require probabilistic price forecasting models to better describe the future price uncertainty. This article considers the application of probabilistic electricity price forecasting models to the wholesale market of Great Britain (GB) and compares them to better understand their capabilities and limits. One of the models that this paper considers is a recent novel X-model that predicts the full supply and demand curves from the bid-stack. The advantage of this model is that it better captures price spikes in the data. In this paper, we provide an adjustment to the model to handle data from GB. In addition to this, we then consider and compare two time-series approaches and a simple benchmark. We compare both point forecasts and probabilistic forecasts on real wholesale price data from GB and consider both point and probabilistic measures. |
| first_indexed | 2024-03-10T07:40:44Z |
| format | Article |
| id | doaj.art-8cae9a62a93e4cf38a436062509536e0 |
| institution | Directory Open Access Journal |
| issn | 2571-9394 |
| language | English |
| last_indexed | 2024-03-10T07:40:44Z |
| publishDate | 2021-08-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Forecasting |
| spelling | doaj.art-8cae9a62a93e4cf38a436062509536e02023-11-22T13:06:34ZengMDPI AGForecasting2571-93942021-08-013359663210.3390/forecast3030038Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great BritainStephen Haben0Julien Caudron1Jake Verma2Energy Systems Catapult, Cannon House, Birmingham B4 6BS, UKEnergy Systems Catapult, Cannon House, Birmingham B4 6BS, UKEnergy Systems Catapult, Cannon House, Birmingham B4 6BS, UKThe energy sector is moving towards a low-carbon, decentralised, and smarter network. The increased uptake of distributed renewable energy and cheaper storage devices provide opportunities for new local energy markets. These local energy markets will require probabilistic price forecasting models to better describe the future price uncertainty. This article considers the application of probabilistic electricity price forecasting models to the wholesale market of Great Britain (GB) and compares them to better understand their capabilities and limits. One of the models that this paper considers is a recent novel X-model that predicts the full supply and demand curves from the bid-stack. The advantage of this model is that it better captures price spikes in the data. In this paper, we provide an adjustment to the model to handle data from GB. In addition to this, we then consider and compare two time-series approaches and a simple benchmark. We compare both point forecasts and probabilistic forecasts on real wholesale price data from GB and consider both point and probabilistic measures.https://www.mdpi.com/2571-9394/3/3/38price forecastingday-ahead forecastingprobabilistic price forecastingelectricity pricessupply and demand curvesprice spikes |
| spellingShingle | Stephen Haben Julien Caudron Jake Verma Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain Forecasting price forecasting day-ahead forecasting probabilistic price forecasting electricity prices supply and demand curves price spikes |
| title | Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain |
| title_full | Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain |
| title_fullStr | Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain |
| title_full_unstemmed | Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain |
| title_short | Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain |
| title_sort | probabilistic day ahead wholesale price forecast a case study in great britain |
| topic | price forecasting day-ahead forecasting probabilistic price forecasting electricity prices supply and demand curves price spikes |
| url | https://www.mdpi.com/2571-9394/3/3/38 |
| work_keys_str_mv | AT stephenhaben probabilisticdayaheadwholesalepriceforecastacasestudyingreatbritain AT juliencaudron probabilisticdayaheadwholesalepriceforecastacasestudyingreatbritain AT jakeverma probabilisticdayaheadwholesalepriceforecastacasestudyingreatbritain |