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Electricity Price Forecasting through Transfer Function Models
F. J. Nogales and A. J. Conejo
The Journal of the Operational Research Society
Vol. 57, No. 4 (Apr., 2006), pp. 350-356
Stable URL: http://www.jstor.org/stable/4102386
Page Count: 7
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Forecasting electricity prices in presentday competitive electricity markets is a must for both producers and consumers because both need price estimates to develop their respective market bidding strategies. This paper proposes a transfer function model to predict electricity prices based on both past electricity prices and demands, and discuss the rationale to build it. The importance of electricity demand information is assessed. Appropriate metrics to appraise prediction quality are identified and used. Realistic and extensive simulations based on data from the PJM Interconnection for year 2003 are conducted. The proposed model is compared with naive and other techniques.
The Journal of the Operational Research Society © 2006 Operational Research Society