Electricity price forecasting is extremely important for all market players, in particular for generating companies: in the short term they must set up bids for the spot market, in the medium term they have to define contract policies, in the long term they must define their expansion plans. This paper presents a day-ahead spot market price forecast-ing technique. This technique has been developed under prob-abilistic assumptions and takes into account the results obtained from a volatility study carried out on three deregulated markets (Spain, California and PJM). Based on an original definition and calculation of price volatility fit for the peculiarities of the “elec-tric energy” commodity, this technique can be used to perform a risk analysis by estimating the probability of a future price fal-ling within a pre-defined range, taking into account previous volatility values. Some results of this price forecasting technique are also pre-sented and discussed.
A new day-ahead spot market price forecasting technique based on volatility analysis
MARRACCI, MIRKO;PELACCHI, PAOLO;
2004-01-01
Abstract
Electricity price forecasting is extremely important for all market players, in particular for generating companies: in the short term they must set up bids for the spot market, in the medium term they have to define contract policies, in the long term they must define their expansion plans. This paper presents a day-ahead spot market price forecast-ing technique. This technique has been developed under prob-abilistic assumptions and takes into account the results obtained from a volatility study carried out on three deregulated markets (Spain, California and PJM). Based on an original definition and calculation of price volatility fit for the peculiarities of the “elec-tric energy” commodity, this technique can be used to perform a risk analysis by estimating the probability of a future price fal-ling within a pre-defined range, taking into account previous volatility values. Some results of this price forecasting technique are also pre-sented and discussed.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
