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A review of electricity price forecasting: The past, the present and the future

Author

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  • Rafal Weron

Abstract

A variety of methods and ideas have been tried for electricity price forecasting (EPF), with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the forecasting tools offer or that may be encountered.

Suggested Citation

  • Rafal Weron, 2014. "A review of electricity price forecasting: The past, the present and the future," HSC Research Reports HSC/14/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:wpaper:hsc1402
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_14_02.pdf
    File Function: Working paper version; Final version published in International Journal of Forecasting 30(4) (2014) 1030-1081 (doi: 10.1016/j.ijforecast.2014.08.008)
    Download Restriction: no
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    More about this item

    Keywords

    Electricity price forecasting; Day-ahead market; Seasonality; Autoregression; Neural network; Factor model; Forecasts combination;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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