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- Price forecasting in the day-ahead Iberian electricity market using a conjectural variations Arima modelPublication . Lagarto, João; Sousa, Jorge A. M.; Martins, Álvaro; Ferrão, PauloPrice 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.
- Modeling the strategic behavior of the iberian electricity market producers using time series analysisPublication . Faria, Ricardo; Sousa, Jorge A. M.; Martins, Ana Alexandra; Lagarto, JoãoThe Iberian Electricity Market (MIBEL) emerges in the context of the integration and cooperation between the Portuguese and Spanish electricity markets, in response to the European Union incentive for regional electricity markets creation. The present study, focus on the modeling and forecasting of the hourly competitive strategies of the electricity producers in the MIBEL. For this analysis, the studied variable was the MIBEL's conjectural variation, which estimates the level of competitiveness of the electricity producers on the day-ahead electricity market. The methodology adopted for forecasting was time series analysis, using ARIMA and exponential smoothing models. The results obtained show that the estimated models that best suit the hourly MIBEL conjectural variation forecast were mainly of the ARIMA seasonal type with daily seasonality, followed by ARIMA non-seasonal type models. It was also observed, that the selected models were mainly estimated with a time series of 5 working days.