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Article

Short-Term Electricity Price Forecasting with Recurrent Regimes and Structural Breaks

1
Institute for Research in Technology, Technical School of Engineering (ICAI), Universidad Pontificia Comillas, 28015 Madrid, Spain
2
Management Science and Operations, London Business School, London NW1 4SA, UK
*
Author to whom correspondence should be addressed.
Energies 2020, 13(20), 5452; https://doi.org/10.3390/en13205452
Received: 25 September 2020 / Revised: 14 October 2020 / Accepted: 15 October 2020 / Published: 19 October 2020
(This article belongs to the Special Issue Operation, Regulation and Planning of Power and Natural Gas Systems)
This paper develops a new approach to short-term electricity forecasting by focusing upon the dynamic specification of an appropriate calibration dataset prior to model specification. It challenges the conventional forecasting principles which argue that adaptive methods should place most emphasis upon recent data and that regime-switching should likewise model transitions from the latest regime. The approach in this paper recognises that the most relevant dataset in the episodic, recurrent nature of electricity dynamics may not be the most recent. This methodology provides a dynamic calibration dataset approach that is based on cluster analysis applied to fundamental market regime indicators, as well as structural time series breakpoint analyses. Forecasting is based upon applying a hybrid fundamental optimisation model with a neural network to the appropriate calibration data. The results outperform other benchmark models in backtesting on data from the Iberian electricity market of 2017, which presents a considerable number of market structural breaks and evolving market price drivers. View Full-Text
Keywords: day-ahead electricity markets; electricity price forecasting; fundamental-econometric models; market structural breaks day-ahead electricity markets; electricity price forecasting; fundamental-econometric models; market structural breaks
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MDPI and ACS Style

Marcos, R.A.d.; Bunn, D.W.; Bello, A.; Reneses, J. Short-Term Electricity Price Forecasting with Recurrent Regimes and Structural Breaks. Energies 2020, 13, 5452. https://doi.org/10.3390/en13205452

AMA Style

Marcos RAd, Bunn DW, Bello A, Reneses J. Short-Term Electricity Price Forecasting with Recurrent Regimes and Structural Breaks. Energies. 2020; 13(20):5452. https://doi.org/10.3390/en13205452

Chicago/Turabian Style

Marcos, Rodrigo A.d., Derek W. Bunn, Antonio Bello, and Javier Reneses. 2020. "Short-Term Electricity Price Forecasting with Recurrent Regimes and Structural Breaks" Energies 13, no. 20: 5452. https://doi.org/10.3390/en13205452

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