To combine or not to combine? Recent trends in electricity price forecasting

Jakub Nowotarski and Rafał Weron

No HSC/16/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: Essentially everyone agrees nowadays that electricity spot price forecasting is of prime importance to the energy business. A variety of methods and ideas have been tried over the years, with varying degrees of success. Yet, despite this diversity of models, it is impossible to select one single, most reliable approach. We argue here that combining forecasts – also known as averaging forecasts, aggregating experts, committee machines or ensemble averaging – is an idea worth considering. Using publicly available data from the Global Energy Forecasting Competition 2014 and four commonly used time series models, we show that for both point and probabilistic forecasts the quality of predictions can be improved if combined.

Keywords: Electricity price forecasting; Combining forecasts; Ensemble averaging; Aggregating experts; Probabilistic forecasts (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 Q47 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2016-01-18
New Economics Papers: this item is included in nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Published as J. Nowotarski, R. Weron (2016) To combine or not to combine? Recent trends in electricity price forecasting, ARGO 9, 7-14. Available from ARGO Website (http://energy-commodity-finance.essec.edu/research/argo-review).

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