Forecasting electricity prices by extracting dynamic common factors: application to the Iberian Market

IET Generation, Transmission and Distribution

Volumn 6, Issue 1, 2012, Pages 11-20

  Garcia Martos C ^a   Rodriguez J ^b   Sanchez M J ^a  

^a UNIVERSIDAD POLITÉCNICA DE MADRID   (Spain)

^b UNIVERSIDAD AUTÓNOMA DE MADRID   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

COMMON FACTORS; DYNAMIC FACTOR MODELS; ELECTRICITY PRICES; FORECASTING ACCURACY; FORECASTING ELECTRICITY; IBERIAN MARKET; LONG-TERM FORECASTING; MARKET OPERATORS; NUMERICAL RESULTS; PREDICTION ACCURACY;

COMMERCE;

FORECASTING;

EID: 84855707710     PISSN: 17518687     EISSN: None     Source Type: Journal    
DOI: 10.1049/iet-gtd.2011.0009     Document Type: Article

References (37)

1. Nogales, F.J., Conejo, A.J., Contreras, J., and Espínola, R.: 'Forecasting next-day electricity prices by time series models', IEEE Trans. Power Syst., 2002, 17, (2), p. 342-34810.1109/TPWRS.2002.1007902 0885-8950
2. Contreras, J., Espínola, R., Nogales, F.J., and Conejo, A.J.: 'ARIMA models to predict next-day electricity prices', IEEE Trans. Power Syst., 2003, 18, (3), p. 1014-102010.1109/TPWRS.2002.804943 0885-8950
3. Conejo, A.J., Contreras, J., Espínola, R., and Plazas, M.A.: 'Forecasting electricity prices for a day-ahead pool-based electric energy market', Int. J. Forecast., 2005, 21, (3), p. 435-46210.1016/j.ijforecast.2004.12.005 0169-2070
4. Amjady, N., and Hemmati, M.: 'Energy price forecasting - problems and proposals for such predictions', IEEE Power Energy Mag., 2006, 4, (2), p. 20-2910.1109/MPAE.2006.1597990 1540-7977
5. Delarue, E., Van Den Bosch, P., and D'haeseleer, W.: 'Effect of the accuracy of price forecasting on profit in a price based unit commitment', Electr. Power Syst. Res., 2010, 80, p. 1306-131310.1016/j.epsr.2010.05.001 0378-7796
6. Amjady, N., and Dareepour, A.: 'Mixed price and load forecasting of electricity markets by a new iterative prediction method', Electr. Power Syst. Res., 2009, 79, p. 1329-133610.1016/j.epsr.2009.04.006 0378-7796
7. Fan, S., Mao, C., and Chen, L.: 'Next-day electricity-price forecasting using a hybrid network', IET Gener. Transm. Distrib., 2007, 1, (1), p. 176-18210.1049/iet-gtd:20060006
8. Amjady, N., Daraeepour, A., and Keynia, F.: 'Day-ahead electricity price forecasting by modified relief algorithm and hybrid neural network', IET Gener. Transm. Distrib., 2010, 4, (3), p. 432-44410.1049/iet-gtd.2009.0297
9. Lucia, J.J., and Schwartz, E.S.: 'Electricity prices and power derivatives: evidence from the nordic power exchange', Rev. Derivatives Res., 2002, 5, p. 5-5010.1023/A:1013846631785
10. Bunn, D.W., and Karakatsani, N.: 'Forecasting electricity prices', (, London Business School, London, UK 2004), Working paper
11. Knittel, C.R., and Roberts, M.R.: 'An empirical examination of restructured electricity prices', Energy Econ., 2005, 27, p. 791-81710.1016/j.eneco.2004.11.005
12. Lira, F., Muñoz, C., Núñez, F., and Cipriano, A.: 'Short-term forecasting of electricity prices in the Colombian electricity market', IET Gener. Transm. Distrib., 2009, 3, (11), p. 980-98610.1049/iet-gtd.2009.0218
13. Koopman, S.J., Ooms, M., and Carnero, M.A.: 'Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices', J. Am. Stat. Assoc., 2007, 102, (477), p. 16-2710.1198/016214506000001022 0162-1459
14. Weron, R., and Misiorek, A.: 'Forecasting spot electricity prices: a comparison of parametric and semiparametric time series models', Int. J. Forecast., 2008, 24, (4), p. 744-76310.1016/j.ijforecast.2008.08.004 0169-2070
15. Wolak, F.: 'Market design and price behavior in restructured electricity markets: an international comparison', (Department of Economics Stanford University 1997), Working paper
16. Taylor, J.W., De Menezes, L.M., and McSharry, P.: 'A comparison of univariate methods for forecasting electricity demand up to a day ahead', Int. J. Forecast., 2006, 22, p. 1-1610.1016/j.ijforecast.2005.06.006 0169-2070
17. Munoz, M., Corchero, C., and Heredia, F.: 'Improving electricity market price scenarios by means of forecasting factor models', (Universitat Politecnica de Catalunya, Department of Statistics and Operations Research Working paper DR 2009/6
18. García-Martos, C., Rodríguez, J., and Sánchez, M.J.: 'Mixed models for short-run forecasting of electricity prices: application to the spanish market case', IEEE Trans. Power Syst., 2007, 22, (2), p. 544-55210.1109/TPWRS.2007.894857 0885-8950
19. Peña, D., and Box, G.E.P.: 'Identifying a simplifying structure in time series', J. Am. Stat. Assoc., 1987, 82, (399), p. 836-84310.2307/2288794 0162-1459
20. Lee, R.D., and Carter, L.R.: 'Modeling and forecasting US mortality', J. Am. Stat. Assoc., 1992, 87, (419), p. 659-67110.2307/2290201 0162-1459
21. Anderson, B.D.O., and Moore, J.B.: 'Optimal filtering', (Prentice-Hall, Englewood Cliffs, New Jersey 1979)
22. Harvey, A.C.: 'Forecasting structural time series models and the Kalman filter', (Cambridge University Press, Cambridge 1989)
23. Ng, S., and Bai, J.: 'Selecting instrumental variables in a data rich environment', J. Time Ser. Econ., 1, (1), article 410.2202/1941-1928.1014
24. Yang, K., Yoon, H., and Shahabi, C.: 'CLeVer: a feature subset selection technique for multivariate time series', Ninth Pacific-Asia Conf. on Knowledge Discovery and Data Mining (PAKDD-05), Hanoi, Vietnam, May 2005, p. 516-522 (LNAI, 3518)
25. Huisman, R., Huurman, C., and Mahieu, R.: 'Hourly electricity prices in day-ahead markets', Energy Econ., 2007, 29, p. 240-24810.1016/j.eneco.2006.08.005
26. Stock, J.H., and Watson, M.: 'Forecasting using principal components from a large number of predictors', J. Am. Stat. Assoc., 2002, 97, p. 1167-117910.1198/016214502388618960 0162-1459
27. Lee, R.D., and Tuljapurkar, S.: 'Stochastic populations forecast for the United States: beyond the high, medium and low', J. Am. Stat. Assoc., 1994, 89, p. 1175-118910.2307/2290980 0162-1459
28. Caporello, G., and Maravall, A.: 'TSW revised reference manual', (Banco de España 2004)
29. Montgomery, D.C.: 'Design and analysis of experiments', (Wiley Press 1984)
30. Massey, F.J.: 'The Kolmogorov-Smirnov test for goodness of fit', J. Am. Stat. Assoc., 1951, 46, (253), p. 68-7810.2307/2280095 0162-1459
31. Nogales, F.J., and Conejo, A.J.: 'Electricity price forecasting through transfer function models', J. Oper. Res. Soc., 2006, 57, p. 350-35610.1057/palgrave.jors.2601995 0160-5682
32. Conejo, A.J., Plazas, M.A., Espínola, R., and Molina, A.B.: 'Day-ahead electricity price forecasting using wavelet transform and ARIMA models', IEEE Trans. Power Syst., 2002, 20, (2), p. 1035-104210.1109/TPWRS.2005.846054 0885-8950
33. Ljung, G.M., and Box, G.E.P.: 'On a measure of lack of fit in time series', Biometrika, 1978, 65, (2), p. 297-30310.1093/biomet/65.2.297 0006-3444
34. Alonso, A.M., García-Martos, C., Rodríguez, J., and Sánchez, M.J.: 'Seasonal dynamic factor analysis and bootstrap inference: application to electricity market forecasting', Technometrics, 2011, 53, (2), p. 137-15110.1198/TECH.2011.09050 0040-1706
35. Karakatsani, N., and Bunn, D.: 'Forecasting electricity prices: the impact of fundamentals and time-varying coefficients', Int. J. Forecast., 2008, 24, p. 764-78510.1016/j.ijforecast.2008.09.008 0169-2070
36. Alonso, A.M., Peña, D., and Rodríguez, J.: 'A methodology for population projections: an application to Spain', UC3M Working papers, 2008, Statistics and Econometrics Series, 08-12
37. Mardia, K.V., Kent, J.T., and Bibby, J.M.: 'Multivariate analysis', (Academic Press, New York 1979)