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

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dc.contributor.authorLagarto, João
dc.contributor.authorSousa, Jorge A. M.
dc.contributor.authorMartins, Álvaro
dc.contributor.authorFerrão, Paulo
dc.date.accessioned2015-09-11T09:04:03Z
dc.date.available2015-09-11T09:04:03Z
dc.date.issued2012
dc.description.abstractPrice 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.por
dc.identifier.citationLAGARTO, 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, 2012por
dc.identifier.doi10.1109/EEM.2012.6254793
dc.identifier.isbn978-1-4673-0834-2
dc.identifier.isbn978-1-4673-0832-8
dc.identifier.issn2165-4077
dc.identifier.urihttp://hdl.handle.net/10400.21/5174
dc.language.isoengpor
dc.peerreviewedyespor
dc.publisherIEEEpor
dc.relation.ispartofseriesInternational Conference on the European Energy Market;
dc.subjectARIMA modelpor
dc.subjectConjectural variationspor
dc.subjectElectricity market simulationpor
dc.subjectIberian electricity marketpor
dc.subjectPrice forecastingpor
dc.subjectStrategic behaviorpor
dc.subjectCompetitive market
dc.titlePrice forecasting in the day-ahead Iberian electricity market using a conjectural variations Arima modelpor
dc.typeconference object
dspace.entity.typePublication
oaire.citation.conferencePlaceNew York
oaire.citation.title9th International Conference on the European Energy Market, Book Series: International Conference on the European Energy Marketpor
person.familyNameLagarto
person.familyNameSousa
person.givenNameJoão
person.givenNameJorge A. M.
person.identifier2750231
person.identifier.ciencia-id0512-2920-3C9E
person.identifier.ciencia-idF816-08E3-B045
person.identifier.orcid0000-0002-7047-6210
person.identifier.orcid0000-0002-1110-6586
person.identifier.ridM-1020-2015
person.identifier.scopus-author-id24758947600
person.identifier.scopus-author-id55940825700
rcaap.rightsclosedAccesspor
rcaap.typeconferenceObjectpor
relation.isAuthorOfPublication174bfcee-266b-483c-bc13-f187a886014d
relation.isAuthorOfPublication69325e43-1f4e-4c1c-8c69-159ac3f93066
relation.isAuthorOfPublication.latestForDiscovery174bfcee-266b-483c-bc13-f187a886014d

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