Short-Term Electricity Price Forecasting with a Composite Fundamental-Econometric Hybrid Methodology

Rodrigo A. de Marcos, Antonio Bello and Javier Reneses
Additional contact information
Rodrigo A. de Marcos: Institute for Research in Technology, Technical School of Engineering (ICAI), Universidad Pontificia Comillas, 28015 Madrid, Spain
Antonio Bello: Institute for Research in Technology, Technical School of Engineering (ICAI), Universidad Pontificia Comillas, 28015 Madrid, Spain
Javier Reneses: Institute for Research in Technology, Technical School of Engineering (ICAI), Universidad Pontificia Comillas, 28015 Madrid, Spain

Energies, 2019, vol. 12, issue 6, 1-15

Abstract: Various power exchanges are nowadays being affected by a plethora of factors that, as a whole, cause considerable instabilities in the system. As a result, traders and practitioners must constantly adapt their strategies and look for support for their decision-making when operating in the market. In many cases, this calls for suitable electricity price forecasting models that can account for relevant aspects for electricity price forecasting. Consequently, fundamental-econometric hybrid approaches have been developed by many authors in the literature, although these have rarely been applied in short-term contexts, where other considerations and issues must be addressed. Therefore, this work aims to develop a robust hybrid methodology that is capable of making the most of the advantages fundamental and the hybrid model in a synergistic manner, while also providing insight as to how well these models perform across the year. Several methods have been utilised in this work in order to modify the hybridisation approach and the input datasets for enhanced predictive accuracy. The performance of this proposal has been analysed in the real case study of the Iberian power exchange and has outperformed other well-recognised and traditional methods.

Keywords: forecast combination; fundamental-econometric models; hybrid models; power exchanges; short-term electricity price forecasting (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: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.mdpi.com/1996-1073/12/6/1067/pdf (application/pdf)
https://www.mdpi.com/1996-1073/12/6/1067/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jeners:v:12:y:2019:i:6:p:1067-:d:215468

Access Statistics for this article

Energies is currently edited by Ms. Agatha Cao

More articles in Energies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().