Improving electricity market price forecasting with factor models for the optimal generation bid

DOI10.1111/INSR.12014MaRDI QIDQ4968568zbMATH OpenOpenAlexFDO

Authors M. Pilar Muñoz, Cristina Corchero, F. J. Heredia

Publication date 16 July 2019

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/insr.12014

zbMATH Keywords

electricity market pricesfactor modelsprice scenariosshort-term forecastingstochastic programming

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Stochastic models in economics (91B70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Recommendations

• scientific article; zbMATH DE number 2156316
• Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
• scientific article; zbMATH DE number 1927181
• A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
• Electricity price forecasting through transfer function models

Cited in

(11)

• Automated electricity price forecast using combined models
• Minimising the expectation value of the procurement cost in electricity markets based on the prediction error of energy consumption
• State-of-the-art of electricity price forecasting in a grid environment
• Electricity price forecasting through transfer function models
• Optimal electricity generation portfolios. The impact of price spread modelling
• scientific article; zbMATH DE number 1927181 (Why is no real title available?)
• Bayesian estimation of electricity price risk with a multi-factor mixture of densities
• Electricity price forecasting with neural networks on EPEX order books
• Forecasting electricity spot price for Nord Pool market with a hybrid k-factor GARMA-LLWNN model
• Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
• Influence of forecasting electricity prices in the optimization of complex hydrothermal systems

This page was built for publication: Improving electricity market price forecasting with factor models for the optimal generation bid

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4968568)