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Forecasting next-day electricity prices by time series models
Abstract
In the framework of competitive electricity markets, power producers and consumers need accurate price forecasting tools. Price forecasts embody crucial information for producers and consumers when planning bidding strategies in order to maximize their benefits and utilities, respectively. This paper provides two highly accurate yet efficient price forecasting tools based on time series analysis: dynamic regression and transfer function models. These techniques are explained and checked against each other. Results and discussions from real-world case studies based on the electricity markets of mainland Spain and California are presented.
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Citations
Cited by
Electricity price forecasting: A review of the state-of-the-art with a look into the future
Weron, R. (2014) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2014.08.008 · Cited by 1,646
Lago, J., De Ridder, F., & De Schutter, B. (2018) · Applied Energy · doi:10.1016/j.apenergy.2018.02.069 · Cited by 642
Day-Ahead Price Forecasting of Electricity Markets by a New Fuzzy Neural Network
Amjady, N. (2006) · IEEE Transactions on Power Systems · doi:10.1109/tpwrs.2006.873409 · Cited by 371
Self-scheduling of a hydro producer in a pool-based electricity market
Conejo, A. J., Arroyo, J. M., Contreras, J., & Villamor, F. A. (2002) · IEEE Transactions on Power Systems · doi:10.1109/tpwrs.2002.804951 · Cited by 326
Self-citationGollou, A. R., & Ghadimi, N. (2017) · Journal of Intelligent & Fuzzy Systems · doi:10.3233/jifs-152073 · Cited by 267
Metadata
- Authors
- Nogales, F. J., Contreras, J., Conejo, A. J., & Espinola, R.
- Venue
- IEEE Transactions on Power Systems
- Published
- 2002-05
- Volume
- 17
- Issue
- 2
- Pages
- 342-348
- ISSN
- 0885-8950 (ISSN-L)
- OpenAlex
- W2150722745
- Cited by
- 864
- References
- 0
- FWCI
- 25.59
- Type
- journal article
- Language
- en
- Open access
- closed
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- Nogales, F. J., Contreras, J., Conejo, A. J., & Espinola, R. (2002). Forecasting next-day electricity prices by time series models. IEEE Transactions on Power Systems. https://doi.org/10.1109/tpwrs.2002.1007902
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