Electricity Spot Price Forecast by Modelling Supply and Demand Curve
Electricity price forecasting has been a booming field over the years, with many methods and techniques being applied with different degrees of success. It is of great interest to the industry sector, becoming a must-have tool for risk management. Most methods forecast the electricity price itself;...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-06-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/12/2012 |
| _version_ | 1797484769891581952 |
|---|---|
| author | Miguel Pinhão Miguel Fonseca Ricardo Covas |
| author_facet | Miguel Pinhão Miguel Fonseca Ricardo Covas |
| author_sort | Miguel Pinhão |
| collection | DOAJ |
| description | Electricity price forecasting has been a booming field over the years, with many methods and techniques being applied with different degrees of success. It is of great interest to the industry sector, becoming a must-have tool for risk management. Most methods forecast the electricity price itself; this paper gives a new perspective to the field by trying to forecast the dynamics behind the electricity price: the supply and demand curves originating from the auction. Given the complexity of the data involved which include many block bids/offers per hour, we propose a technique for market curve modeling and forecasting that incorporates multiple seasonal effects and known market variables, such as wind generation or load. It is shown that this model outperforms the benchmarked ones and increases the performance of ensemble models, highlighting the importance of the use of market bids in electricity price forecasting. |
| first_indexed | 2024-03-09T23:09:13Z |
| format | Article |
| id | doaj.art-d062e39ad5164011901c2370b4e4683d |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-09T23:09:13Z |
| publishDate | 2022-06-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-d062e39ad5164011901c2370b4e4683d2023-11-23T17:48:17ZengMDPI AGMathematics2227-73902022-06-011012201210.3390/math10122012Electricity Spot Price Forecast by Modelling Supply and Demand CurveMiguel Pinhão0Miguel Fonseca1Ricardo Covas2NOVA School of Science and Technology, Department of Mathematics, NOVA Math, 2829-516 Caparica, PortugalNOVA School of Science and Technology, Department of Mathematics, NOVA Math, 2829-516 Caparica, PortugalEDP—Energias de Portugal, 1249-300 Lisboa, PortugalElectricity price forecasting has been a booming field over the years, with many methods and techniques being applied with different degrees of success. It is of great interest to the industry sector, becoming a must-have tool for risk management. Most methods forecast the electricity price itself; this paper gives a new perspective to the field by trying to forecast the dynamics behind the electricity price: the supply and demand curves originating from the auction. Given the complexity of the data involved which include many block bids/offers per hour, we propose a technique for market curve modeling and forecasting that incorporates multiple seasonal effects and known market variables, such as wind generation or load. It is shown that this model outperforms the benchmarked ones and increases the performance of ensemble models, highlighting the importance of the use of market bids in electricity price forecasting.https://www.mdpi.com/2227-7390/10/12/2012electricity price forecastelectricitymarket curveselectricity pricevector auto regressiontime-series |
| spellingShingle | Miguel Pinhão Miguel Fonseca Ricardo Covas Electricity Spot Price Forecast by Modelling Supply and Demand Curve Mathematics electricity price forecast electricity market curves electricity price vector auto regression time-series |
| title | Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
| title_full | Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
| title_fullStr | Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
| title_full_unstemmed | Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
| title_short | Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
| title_sort | electricity spot price forecast by modelling supply and demand curve |
| topic | electricity price forecast electricity market curves electricity price vector auto regression time-series |
| url | https://www.mdpi.com/2227-7390/10/12/2012 |
| work_keys_str_mv | AT miguelpinhao electricityspotpriceforecastbymodellingsupplyanddemandcurve AT miguelfonseca electricityspotpriceforecastbymodellingsupplyanddemandcurve AT ricardocovas electricityspotpriceforecastbymodellingsupplyanddemandcurve |