Multi-Day-Ahead Electricity Price Forecasting: A Comparison of Fundamental, Econometric and Hybrid Models
نویسندگان
چکیده
Forecasting hourly electricity prices and their characteristic properties is a core challenge for energy generation companies trading houses. The short-term marketing purchase of usually managed with standardized products traded on different markets specific temporal resolution maturity. size scope the price forecasting literature has grown significantly in recent years, majority studies focused (intraday day-ahead) or long-term (investment decisions) periods. However, period beyond day-ahead horizon, which relevant aforementioned managing assets over several days, rather scarce. Our paper fills this gap by developing individual models covering horizons from day ahead up to week ahead. We introduce hybrids parsimonious fundamental model various popular econometric models. In case study German market 2016 we test compare settings carefully considering realistic available data limiting calculation time fit typical constraints. find that best across all jointly are hybrid approaches. They combine strengths autoregressive terms capturing daily - even non-linear-structures immediate reactions events changes market.
منابع مشابه
Day-ahead Price Forecasting of Electricity Markets by a New Hybrid Forecast Method
Energy price forecast is the key information for generating companies to prepare their bids in the electricity markets. However, this forecasting problem is complex due to nonlinear, non-stationary, and time variant behavior of electricity price time series. Accordingly, in this paper a new strategy is proposed for electricity price forecast. The forecast strategy includes Wavelet Transform (WT...
متن کاملApplication of a New Hybrid Method for Day-Ahead Energy Price Forecasting in Iranian Electricity Market
Abstract- In a typical competitive electricity market, a large number of short-term and long-term contracts are set on basis of energy price by an Independent System Operator (ISO). Under such circumstances, accurate electricity price forecasting can play a significant role in improving the more reasonable bidding strategies adopted by the electricity market participants. So, they cannot only r...
متن کاملday-ahead price forecasting of electricity markets by a new hybrid forecast method
energy price forecast is the key information for generating companies to prepare their bids in the electricity markets. however, this forecasting problem is complex due to nonlinear, non-stationary, and time variant behavior of electricity price time series. accordingly, in this paper a new strategy is proposed for electricity price forecast. the forecast strategy includes wavelet transform (wt...
متن کاملA Hybrid Artificial Neural Network and VEPSO based on Day-ahead Price Forecasting of Electricity Markets
In this paper a new Hybrid technique of Artificial Neural Network (ANN) and Vector Evaluated Particle Swarm Optimization (VEPSO) is presented as a forecasting strategy for day-ahead price of electricity market. The proposed technique the proposed intelligent technique is applied to weights and bias of ANN to improve the learning capability through the minimum error. A comprehensive comparative ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3949454