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Short-Term Electricity Price Forecasting with a Composite Fundamental-Econometric Hybrid Methodology

Institute for Research in Technology, Technical School of Engineering (ICAI), Universidad Pontificia Comillas, 28015 Madrid, Spain
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This paper is an extended version of our paper published in the EEM2018 conference on 27–29 June 2018 in Łódź, Poland.
Energies 2019, 12(6), 1067; https://doi.org/10.3390/en12061067
Received: 26 February 2019 / Revised: 15 March 2019 / Accepted: 18 March 2019 / Published: 20 March 2019
(This article belongs to the Section Electrical Power and Energy System)
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Abstract

Various power exchanges are nowadays being affected by a plethora of factors that, as a whole, cause considerable instabilities in the system. As a result, traders and practitioners must constantly adapt their strategies and look for support for their decision-making when operating in the market. In many cases, this calls for suitable electricity price forecasting models that can account for relevant aspects for electricity price forecasting. Consequently, fundamental-econometric hybrid approaches have been developed by many authors in the literature, although these have rarely been applied in short-term contexts, where other considerations and issues must be addressed. Therefore, this work aims to develop a robust hybrid methodology that is capable of making the most of the advantages fundamental and the hybrid model in a synergistic manner, while also providing insight as to how well these models perform across the year. Several methods have been utilised in this work in order to modify the hybridisation approach and the input datasets for enhanced predictive accuracy. The performance of this proposal has been analysed in the real case study of the Iberian power exchange and has outperformed other well-recognised and traditional methods. View Full-Text
Keywords: forecast combination; fundamental-econometric models; hybrid models; power exchanges; short-term electricity price forecasting forecast combination; fundamental-econometric models; hybrid models; power exchanges; short-term electricity price forecasting
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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de Marcos, R.A.; Bello, A.; Reneses, J. Short-Term Electricity Price Forecasting with a Composite Fundamental-Econometric Hybrid Methodology. Energies 2019, 12, 1067.

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