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Price forecasting in the day-ahead Iberian electricity market using a conjectural variations ARIMA model

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4 Author(s)
João Lagarto ; ISEL - Lisbon Engineering Superior Institute, Rua Conselheiro Emídio Navarro, 1, 1950-062 Lisboa, Portugal ; Jorge de Sousa ; Álvaro Martins ; Paulo Ferrão

Price forecast is a matter of concern for all participants in electricity markets, from suppliers to consumers through policy makers, which are interested in the accurate forecast of day-ahead electricity prices either for better decisions making or for an improved evaluation of the effectiveness of market rules and structure. This paper describes a methodology to forecast market prices in an electricity market using an ARIMA model applied to the conjectural variations of the firms acting in an electricity market. This methodology is applied to the Iberian electricity market to forecast market prices in the 24 hours of a working day. The methodology was then compared with two other methodologies, one called naïve and the other a direct forecast of market prices using also an ARIMA model. Results show that the conjectural variations price forecast performs better than the naïve and that it performs slightly better than the direct price forecast.

Published in:

2012 9th International Conference on the European Energy Market

Date of Conference:

10-12 May 2012