Forecasting the intra-day spread densities of electricity prices

Abramova, E and Bunn, D W (2020) Forecasting the intra-day spread densities of electricity prices. Energies, 13 (3). p. 687. ISSN 1996-1073 OPEN ACCESS

Abstract

Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German electricity price spreads between different hours of the day, as revealed in the day-ahead auctions. The four specifications of the density functions are dynamic and conditional upon exogenous drivers, thereby permitting the location, scale and shape parameters of the densities to respond hourly to such factors as weather and demand forecasts. The best fitting and forecasting specifications for each spread are selected based on the Pinball Loss function, following the closed form analytical solutions of the cumulative distribution functions.

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Item Type: Article
Subject Areas: Management Science and Operations
Additional Information:

© 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) licence https://creativecommons.org/licenses/by/4.0/.

(This article belongs to the Special Issue: Modeling and Forecasting Intraday Electricity Markets)

Date Deposited: 17 Aug 2020 08:41
Date of first compliant deposit: 14 Aug 2020
Subjects: G > Germany
M > Market forecasting
P > Pricing
E > Electricity supply industry
Last Modified: 20 Nov 2020 10:42
URI: https://lbsresearch.london.edu/id/eprint/1454
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