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Hybridisation of fundamental and composite econometric modelling for short-term electricity price forecasting

R. Marcos, A. Bello, J. Reneses

15th International Conference on the European Energy Market - EEM18, Lodz (Polonia). 27-29 junio 2018


Resumen:

Traders and practitioners in diverse power exchanges are nowadays being most exposed to uncertainty than ever. This calls for appropriate electricity price forecasting models that can account for relevant aspects for electricity price forecasting. Therefore, some authors in the current literature have proposed combining fundamental models with econometric methods and have provided useful results for medium-term applications. However, little has been done for the short term. All of these facts encourage this work, which aims to the creation of a suitable hybrid short-term electricity price forecasting model, while extending the most commonly used hybridisation method by considering flexible combination approaches, several variables and individual model amalgamations. In order to validate the advantages and contributions of the proposed model, it has been applied to a real-size power exchange with complex price dynamics, such as the Iberian electricity market, and its performance was compared to that of other, more traditional, forecasting models.


Palabras clave: Econometric Models, Fundamental Models, Hybrid Models, Power Exchanges, Short-Term Forecasting


DOI: DOI icon https://doi.org/10.1109/EEM.2018.8470022

Publicado en IEEE EEM 2018, pp: 1-5, ISBN: 978-1-5386-1489-1

Fecha de publicación: 2018-06-27.



Cita:
R. Marcos, A. Bello, J. Reneses, Hybridisation of fundamental and composite econometric modelling for short-term electricity price forecasting, 15th International Conference on the European Energy Market - EEM18, Lodz (Polonia). 27-29 junio 2018. En: IEEE EEM 2018: Conference proceedings, ISBN: 978-1-5386-1489-1


    Líneas de investigación:
  • Modelos de mercados de electricidad, gas natural y gases renovables

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