A linear regression pattern for electricity price forecasting in the Iberian electricity market
Autor(a) principal: | |
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Data de Publicação: | 2019 |
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/10198/21552 |
Resumo: | The Iberian Market for Electricity resulted from a cooperation process developed by the Portuguese and Spanish administrations, aiming to promote the integration of the electrical systems of both countries. This common market consists of organised markets or power exchanges, and non-organised markets where bilateral over-the-counter trading takes place with or without brokers. Within this scenario, electricity price forecasts have become fundamental to the process of decision-making and strategy development by market participants. The unique characteristics of electricity prices such as non-stationarity, non-linearity and high volatility make this task very difficult. For this reason, instead of a simple time forecast, market participants are more interested in a causal forecast that is essential to estimate the uncertainty involved in the price. This work focuses on modelling the impact of various explanatory variables on the electricity price through a multiple linear regression analysis. The quality of the estimated models obtained validates the use of statistical or causal methods, such as the Multiple Linear Regression Model, as a plausible strategy to achieve causal forecasts of electricity prices in medium and long-term electricity price forecasting. From the evaluation of the electricity price forecasting for Portugal and Spain, in the year of 2017, the mean absolute percentage errors (MAPE) were 9.02% and 12.02%, respectively. In 2018, the MAPE, evaluated for 9 months, for Portugal and Spain equals 7.12% and 6.45%, respectively. |
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A linear regression pattern for electricity price forecasting in the Iberian electricity marketThe Iberian Market for Electricity resulted from a cooperation process developed by the Portuguese and Spanish administrations, aiming to promote the integration of the electrical systems of both countries. This common market consists of organised markets or power exchanges, and non-organised markets where bilateral over-the-counter trading takes place with or without brokers. Within this scenario, electricity price forecasts have become fundamental to the process of decision-making and strategy development by market participants. The unique characteristics of electricity prices such as non-stationarity, non-linearity and high volatility make this task very difficult. For this reason, instead of a simple time forecast, market participants are more interested in a causal forecast that is essential to estimate the uncertainty involved in the price. This work focuses on modelling the impact of various explanatory variables on the electricity price through a multiple linear regression analysis. The quality of the estimated models obtained validates the use of statistical or causal methods, such as the Multiple Linear Regression Model, as a plausible strategy to achieve causal forecasts of electricity prices in medium and long-term electricity price forecasting. From the evaluation of the electricity price forecasting for Portugal and Spain, in the year of 2017, the mean absolute percentage errors (MAPE) were 9.02% and 12.02%, respectively. In 2018, the MAPE, evaluated for 9 months, for Portugal and Spain equals 7.12% and 6.45%, respectively.Biblioteca Digital do IPBFerreira, Ângela P.Jenice, RamosFernandes, Paula Odete2020-04-06T11:11:27Z20192019-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10198/21552engFerreira, Ângela P.; Jenice, Ramos; Fernandes, Paula O. (2019). A linear regression pattern for electricity price forecasting in the Iberian electricity market. Revista Facultad de Ingeniería Universidad de Antioquia. ISSN 0120-6230. 93, p. 117-1270120-623010.17533/udea.redin.201905222422-2844info: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:RCAAP2023-11-21T10:48:15Zoai:bibliotecadigital.ipb.pt:10198/21552Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T23:12:37.495797Repositório 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 |
A linear regression pattern for electricity price forecasting in the Iberian electricity market |
title |
A linear regression pattern for electricity price forecasting in the Iberian electricity market |
spellingShingle |
A linear regression pattern for electricity price forecasting in the Iberian electricity market Ferreira, Ângela P. |
title_short |
A linear regression pattern for electricity price forecasting in the Iberian electricity market |
title_full |
A linear regression pattern for electricity price forecasting in the Iberian electricity market |
title_fullStr |
A linear regression pattern for electricity price forecasting in the Iberian electricity market |
title_full_unstemmed |
A linear regression pattern for electricity price forecasting in the Iberian electricity market |
title_sort |
A linear regression pattern for electricity price forecasting in the Iberian electricity market |
author |
Ferreira, Ângela P. |
author_facet |
Ferreira, Ângela P. Jenice, Ramos Fernandes, Paula Odete |
author_role |
author |
author2 |
Jenice, Ramos Fernandes, Paula Odete |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Biblioteca Digital do IPB |
dc.contributor.author.fl_str_mv |
Ferreira, Ângela P. Jenice, Ramos Fernandes, Paula Odete |
description |
The Iberian Market for Electricity resulted from a cooperation process developed by the Portuguese and Spanish administrations, aiming to promote the integration of the electrical systems of both countries. This common market consists of organised markets or power exchanges, and non-organised markets where bilateral over-the-counter trading takes place with or without brokers. Within this scenario, electricity price forecasts have become fundamental to the process of decision-making and strategy development by market participants. The unique characteristics of electricity prices such as non-stationarity, non-linearity and high volatility make this task very difficult. For this reason, instead of a simple time forecast, market participants are more interested in a causal forecast that is essential to estimate the uncertainty involved in the price. This work focuses on modelling the impact of various explanatory variables on the electricity price through a multiple linear regression analysis. The quality of the estimated models obtained validates the use of statistical or causal methods, such as the Multiple Linear Regression Model, as a plausible strategy to achieve causal forecasts of electricity prices in medium and long-term electricity price forecasting. From the evaluation of the electricity price forecasting for Portugal and Spain, in the year of 2017, the mean absolute percentage errors (MAPE) were 9.02% and 12.02%, respectively. In 2018, the MAPE, evaluated for 9 months, for Portugal and Spain equals 7.12% and 6.45%, respectively. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019 2019-01-01T00:00:00Z 2020-04-06T11:11:27Z |
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/10198/21552 |
url |
http://hdl.handle.net/10198/21552 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Ferreira, Ângela P.; Jenice, Ramos; Fernandes, Paula O. (2019). A linear regression pattern for electricity price forecasting in the Iberian electricity market. Revista Facultad de Ingeniería Universidad de Antioquia. ISSN 0120-6230. 93, p. 117-127 0120-6230 10.17533/udea.redin.20190522 2422-2844 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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