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

Autor
Muñoz, M.P.; Corchero, C.; Heredia, F.
Tipus d'activitat
Article en revista
Revista
International statistical review
Data de publicació
2013-08
Volum
81
Número
2
Pàgina inicial
289
Pàgina final
306
DOI
https://doi.org/10.1111/insr.12014 Obrir en finestra nova
Projecte finançador
Short- and Medium-Term Multimarket Optimal Electricity Generation Planning with Risk and Environmental Constraints, Codi MICINN DPI2008-02153
URL
http://onlinelibrary.wiley.com/doi/10.1111/insr.12014/full Obrir en finestra nova
Resum
In liberalized electricity markets, the electricity generation companies usually manage their production by developing hourly bids that are sent to the day-ahead market. As the prices at which the energy will be purchased are unknown until the end of the bidding process, forecasting of spot prices has become an essential element in electricity management strategies. In this article, we apply forecasting factor models to the market framework in Spain and Portugal and study their performance. Alth...
Paraules clau
Electricity market prices, factor models, price scenarios, short-term forecasting, stochastic programming
Grup de recerca
GNOM - Grup d'Optimització Numèrica i Modelització
LIAM - Laboratori de Modelització i Anàlisi de la Informació