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Forecasting and Modelling of Electricity Prices by Radial Basis Functions: Turkish Electricity Market Experiment

Author

Listed:
  • Cenktan ÖZYILDIRIM

    (İstanbul Bilgi Üniversitesi)

  • Mehmet Fuat BEYAZIT

    (İstanbul Bilgi Üniversitesi)

Abstract

In the past three decades the electricity has ceased to be a public good and was deregulated in many countries including the developing ones. Therefore the short-term price forecasts have become very important for all the market players in a new competitive environment. In this paper the hourly data of the Turkish electricity market are examined, considering the market players are interested in the evolution of hourly electricity prices and the aim is to forecast the hourly prices as close as possible to the market price to produce proper cash flow estimations. It is shown that the hourly prices have a recurring structure in time and this effect forms a rational for Radial Basis Functions method besides the conventional linear regression method in researching the price structure. Radial Basis Functions method produces slightly better estimation errors in terms of out of sample performance for a specific estimation period.

Suggested Citation

  • Cenktan ÖZYILDIRIM & Mehmet Fuat BEYAZIT, 2014. "Forecasting and Modelling of Electricity Prices by Radial Basis Functions: Turkish Electricity Market Experiment," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(344), pages 31-54.
    • Handle: RePEc:iif:iifjrn:v:29:y:2014:i:344:p:31-54
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    Citations

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    Cited by:

    1. Umut Ugurlu & Oktay Tas & Aycan Kaya & Ilkay Oksuz, 2018. "The Financial Effect of the Electricity Price Forecasts’ Inaccuracy on a Hydro-Based Generation Company," Energies, MDPI, vol. 11(8), pages 1-19, August.
    2. Avci, Ezgi & Ketter, Wolfgang & van Heck, Eric, 2018. "Managing electricity price modeling risk via ensemble forecasting: The case of Turkey," Energy Policy, Elsevier, vol. 123(C), pages 390-403.
    3. Umut Ugurlu & Ilkay Oksuz & Oktay Tas, 2018. "Electricity Price Forecasting Using Recurrent Neural Networks," Energies, MDPI, vol. 11(5), pages 1-23, May.
    4. Ilkay Oksuz & Umut Ugurlu, 2019. "Neural Network Based Model Comparison for Intraday Electricity Price Forecasting," Energies, MDPI, vol. 12(23), pages 1-14, November.

    More about this item

    Keywords

    Radial Basis Functions; Electricity Price Forecasting; Energy Markets;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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