Electricity Spot Price Forecast by Modelling Supply and Demand Curve
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/143863 |
Resumo: | Publisher Copyright: © 2022 by the authors. Licensee MDPI, Basel, Switzerland. This research received no external funding |
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Electricity Spot Price Forecast by Modelling Supply and Demand Curveelectricityelectricity priceelectricity price forecastmarket curvestime-seriesvector auto regressionMathematics(all)Publisher Copyright: © 2022 by the authors. Licensee MDPI, Basel, Switzerland. This research received no external fundingElectricity 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.CMA - Centro de Matemática e AplicaçõesDM - Departamento de MatemáticaRUNPinhão, MiguelFonseca, MiguelCovas, Ricardo2022-09-20T22:25:48Z2022-06-112022-06-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article20application/pdfhttp://hdl.handle.net/10362/143863eng2227-7390PURE: 46646945https://doi.org/10.3390/math10122012info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:22:41Zoai:run.unl.pt:10362/143863Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:51:10.754398Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
title |
Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
spellingShingle |
Electricity Spot Price Forecast by Modelling Supply and Demand Curve Pinhão, Miguel electricity electricity price electricity price forecast market curves time-series vector auto regression Mathematics(all) |
title_short |
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_sort |
Electricity Spot Price Forecast by Modelling Supply and Demand Curve |
author |
Pinhão, Miguel |
author_facet |
Pinhão, Miguel Fonseca, Miguel Covas, Ricardo |
author_role |
author |
author2 |
Fonseca, Miguel Covas, Ricardo |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
CMA - Centro de Matemática e Aplicações DM - Departamento de Matemática RUN |
dc.contributor.author.fl_str_mv |
Pinhão, Miguel Fonseca, Miguel Covas, Ricardo |
dc.subject.por.fl_str_mv |
electricity electricity price electricity price forecast market curves time-series vector auto regression Mathematics(all) |
topic |
electricity electricity price electricity price forecast market curves time-series vector auto regression Mathematics(all) |
description |
Publisher Copyright: © 2022 by the authors. Licensee MDPI, Basel, Switzerland. This research received no external funding |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-09-20T22:25:48Z 2022-06-11 2022-06-11T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/143863 |
url |
http://hdl.handle.net/10362/143863 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
2227-7390 PURE: 46646945 https://doi.org/10.3390/math10122012 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
20 application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799138106773864448 |