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Electricity price forecasting: A review of the state-of-the-art with a look into the future

Listed author(s):
  • Rafal Weron

A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, 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. The paper also looks ahead and speculates on the directions EPF will or should take in the next decade or so. In particular, it postulates the need for objective comparative EPF studies involving (i) the same datasets, (ii) the same robust error evaluation procedures and (iii) statistical testing of the significance of the outperformance of one model by another.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_14_07.pdf
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File URL: http://dx.doi.org/10.1016/j.ijforecast.2014.08.008
File Function: Final version, published in International Journal of Forecasting 30(4) (2014) 1030-1081 (doi: 10.1016/j.ijforecast.2014.08.008)
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Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/14/07.

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Length: 92 pages
Date of creation: 12 May 2014
Handle: RePEc:wuu:wpaper:hsc1407
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