Forecasting the Intra-Day Spread Densities of Electricity Prices

Energies

Ekaterina Abramova¹  Derek Bunn¹ 

[1] London Business School, Department of Management Science and Operations, Regent’s Park, London NW1 4SA, UK;

关键词: electricity;    spreads;    forecasting;    gamlss;   

DOI  :  10.3390/en13030687

来源: DOAJ

【 摘 要 】

Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German electricity price spreads between different hours of the day, as revealed in the day-ahead auctions. The four specifications of the density functions are dynamic and conditional upon exogenous drivers, thereby permitting the location, scale and shape parameters of the densities to respond hourly to such factors as weather and demand forecasts. The best fitting and forecasting specifications for each spread are selected based on the Pinball Loss function, following the closed-form analytical solutions of the cumulative distribution functions.

【 授权许可】

Unknown