Electricity Spot Price Forecast by Modelling Supply and Demand Curve

Mathematics

Ricardo Covas¹  Miguel Pinhão²  Miguel Fonseca² 

[1]EDP—Energias de Portugal, 1249-300 Lisboa, Portugal

[2]NOVA School of Science and Technology, Department of Mathematics, NOVA Math, 2829-516 Caparica, Portugal

关键词: electricity price forecast;    electricity;    market curves;    electricity price;    vector auto regression;    time-series;   

DOI  :  10.3390/math10122012

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown