Probabilistic Forecasting of Day-ahead Electricity Prices for the Iberian Electricity Market

• Type: Article in International Conference Proceedings Book
• Date: 2016

Authors

Moreira, R (Author) Other; Bessa, R (Author) Other; João Gama (Author) FEP

Conference proceedings International

Title: 2016 13th International Conference on the European Energy Market (EEM)

Indexing

ISI Web of Knowledge - 3 Citations

Scopus - 7 Citations

Other information

Authenticus ID: P-00K-RBN

DOI: 10.1109/eem.2016.7521226

Abstract (EN): With the liberalization of the electricity markets, price forecasting has become crucial for the decision-making process of market agents. The unique features of electricity price, such as non-stationary, non-linearity and high volatility make this a very difficult task. For this reason, rather than a simple point forecast, market participants are more interested in a probabilistic forecast that is essential to estimate the uncertainty involved in the price. By focusing on this issue, the aim of this paper is to analyze the impact of external factors in the electricity price and present a methodology for probabilistic forecasting of day-ahead electricity prices from the Iberian electricity market. The models are built using regression techniques and aim to obtain, for each hour, the quantiles of 5% to 95% by steps of 5%.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 5