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Energies 2014, 7(5), 3304-3318; doi:10.3390/en7053304

Dynamic Hybrid Model for Short-Term Electricity Price Forecasting

1
HEP Trgovina d.o.o., Ulica grada Vukovara 37, Zagreb HR-10000, Croatia
2
Petrol d.o.o., Oreškovićeva 6/h, Zagreb HR-10010, Croatia
3
University of Zagreb, Faculty of Electrical Engineering and Computing, Unska 3, Zagreb HR-10000, Croatia
*
Author to whom correspondence should be addressed.
Received: 14 April 2014 / Revised: 8 May 2014 / Accepted: 12 May 2014 / Published: 20 May 2014
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Abstract

Accurate forecasting tools are essential in the operation of electric power systems, especially in deregulated electricity markets. Electricity price forecasting is necessary for all market participants to optimize their portfolios. In this paper we propose a hybrid method approach for short-term hourly electricity price forecasting. The paper combines statistical techniques for pre-processing of data and a multi-layer (MLP) neural network for forecasting electricity price and price spike detection. Based on statistical analysis, days are arranged into several categories. Similar days are examined by correlation significance of the historical data. Factors impacting the electricity price forecasting, including historical price factors, load factors and wind production factors are discussed. A price spike index (CWI) is defined for spike detection and forecasting. Using proposed approach we created several forecasting models of diverse model complexity. The method is validated using the European Energy Exchange (EEX) electricity price data records. Finally, results are discussed with respect to price volatility, with emphasis on the price forecasting accuracy.
Keywords: data mining; neural network; price volatility; short term electricity price forecasting; forecasting techniques; spot market; electricity price data mining; neural network; price volatility; short term electricity price forecasting; forecasting techniques; spot market; electricity price
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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MDPI and ACS Style

Cerjan, M.; Matijaš, M.; Delimar, M. Dynamic Hybrid Model for Short-Term Electricity Price Forecasting. Energies 2014, 7, 3304-3318.

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