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Electricity price forecasting

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  • Katarzyna Maciejowska
  • Rafal Weron

Abstract

Electricity price forecasting (EPF) is an actively developing research field, which aims at predicting the spot and forward prices in wholesale electricity markets. Since day-ahead forecasting has gained the most attention, in this article we review the modeling approaches for short-term predictions, with a particular focus on variable selection.

Suggested Citation

  • Katarzyna Maciejowska & Rafal Weron, 2019. "Electricity price forecasting," HSC Research Reports HSC/19/01, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:wpaper:hsc1901
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    More about this item

    Keywords

    Forecasting; Electricity Spot Price; Day-ahead Market; Variable Selection; Regularization; Regression; Quantile Regression;
    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
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General
    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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