Explanatory Information Analysis for Day-Ahead Price Forecasting in the Iberian Electricity Market

Claudio Monteiro, L. Alfredo Fernandez-Jimenez and Ignacio J. Ramirez-Rosado
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Claudio Monteiro: Faculty of Engineering of the University of Porto (FEUP), Porto 4200-465, Portugal
L. Alfredo Fernandez-Jimenez: Electrical Engineering Department, University of La Rioja, Logroño 26004, Spain
Ignacio J. Ramirez-Rosado: Electrical Engineering Department, University of Zaragoza, Zaragoza 50018, Spain

Energies, 2015, vol. 8, issue 9, 1-23

Abstract: This paper presents the analysis of the importance of a set of explanatory (input) variables for the day-ahead price forecast in the Iberian Electricity Market (MIBEL). The available input variables include extensive hourly time series records of weather forecasts, previous prices, and regional aggregation of power generations and power demands. The paper presents the comparisons of the forecasting results achieved with a model which includes all these available input variables (EMPF model) with respect to those obtained by other forecasting models containing a reduced set of input variables. These comparisons identify the most important variables for forecasting purposes. In addition, a novel Reference Explanatory Model for Price Estimations (REMPE) that achieves hourly price estimations by using actual power generations and power demands of such day is described in the paper, which offers the lowest limit for the forecasting error of the EMPF model. All the models have been implemented using the same technique (artificial neural networks) and have been satisfactorily applied to the real-world case study of the Iberian Electricity Market (MIBEL). The relative importance of each explanatory variable is identified for the day-ahead price forecasts in the MIBEL. The comparisons also allow outlining guidelines of the value of the different types of input information.

Keywords: short-term forecasting; market prices; Iberian electricity market; electricity prices (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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