Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/5174
Título: Price forecasting in the day-ahead Iberian electricity market using a conjectural variations Arima model
Autor: Lagarto, João Hermínio Ninitas
Sousa, Jorge Alberto Mendes de
Martins, Álvaro
Ferrão, Paulo
Palavras-chave: ARIMA model
Conjectural variations
Electricity market simulation
Iberian electricity market
Price forecasting
Strategic behavior
Competitive market
Data: 2012
Editora: IEEE
Citação: LAGARTO, J.; [et al] – Price forecasting in the day-ahead Iberian electricity market Using a conjectural variations Arima model. In 9th International Conference on the European Energy Market, Book Series: International Conference on the European Energy Market. IEEE, 2012
Relatório da Série N.º: International Conference on the European Energy Market;
Resumo: 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 naive 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 naive and that it performs slightly better than the direct price forecast.
Peer review: yes
URI: http://hdl.handle.net/10400.21/5174
DOI: 10.1109/EEM.2012.6254793
ISBN: 978-1-4673-0834-2
978-1-4673-0832-8
ISSN: 2165-4077
Aparece nas colecções:ISEL - Eng. Electrotécn. - Comunicações



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