Bunn, D W and Abramova, E (2020) Forecasting the intra-day spread densities of electricity prices. Energies, 13 (3). p. 687. ISSN 1996-1073
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.
More Details
Item Type: | Article |
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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/.
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Date Deposited: | 17 Aug 2020 08:41 |
Date of first compliant deposit: | 14 Aug 2020 |
Subjects: |
Germany Market forecasting Pricing Electricity supply industry |
Last Modified: | 05 Nov 2024 02:44 |
URI: | https://lbsresearch.london.edu/id/eprint/1454 |