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Benchmarking time series based forecasting models for electricity balancing market prices

Listed author(s):
  • Gro Klaeboe

    ()

    (Norwegian University of Science and Technology)

  • Anders Lund Eriksrud

    (Norwegian University of Science and Technology)

  • Stein-Erik Fleten

    ()

    (Norwegian University of Science and Technology)

In the trade-off between bidding in the day-ahead electricity market and the real time balancing market, producers need good forecasts for balancing market prices to make informed decisions. A range of earlier published models for forecasting of balancing market prices, including a few extensions, is benchmarked. The models are benchmarked both for one hour-ahead and day-ahead forecast, and both point and interval forecasts are compared. None of the benchmarked models produce informative day-ahead point forecasts, suggesting that information available before the closing of the day-ahead market is effciently reflected in the day-ahead market price rather than the balancing market price. Evaluation of the interval forecasts reveals that models without balancing state information overestimate variance, making them unsuitable for scenario generation.

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File URL: https://www2.gwu.edu/~forcpgm/2013-006.pdf
File Function: First version, 2012
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Paper provided by The George Washington University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2013-006.

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Length: 32 pages
Date of creation: Oct 2013
Handle: RePEc:gwc:wpaper:2013-006
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Web page: https://www2.gwu.edu/~forcpgm
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