Exponential Smoothing Approaches for Prediction in Real-Time Electricity Markets

Tryggvi Jónsson, Pierre Pinson, Henrik Aa. Nielsen and Henrik Madsen
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Tryggvi Jónsson: Department of Applied Mathematics,Technical University of Denmark, Matematiktorvet 303, 2800 Kgs. Lyngby, Denmark
Pierre Pinson: Department of Electrical Engineering, Technical University of Denmark, Elektrovej 325,2800 Kgs. Lyngby, Denmark
Henrik Aa. Nielsen: ENFOR A/S, Lyngsø Allé 3, 2970 Hørsholm, Denmark
Henrik Madsen: Department of Applied Mathematics,Technical University of Denmark, Matematiktorvet 303, 2800 Kgs. Lyngby, Denmark

Energies, 2014, vol. 7, issue 6, 1-23

Abstract: The optimal design of offering strategies for wind power producers is commonly based on unconditional (and, hence, constant) expectation values for prices in real-time markets, directly defining their loss function in a stochastic optimization framework. This is why it may certainly be advantageous to account for the seasonal and dynamic behavior of such prices, hence translating to time-varying loss functions. With that objective in mind, forecasting approaches relying on simple models that accommodate the seasonal and dynamic nature of real-time prices are derived and analyzed. These are all based on the well-known Holt–Winters model with a daily seasonal cycle, either in its conventional form or conditioned upon exogenous variables, such as: (i) day-ahead price; (ii) system load; and (iii) wind power penetration. The superiority of the proposed approach over a number of common benchmarks is subsequently demonstrated through an empirical investigation for the Nord Pool, mimicking practical forecasting for a three-year period over 2008–2011.

Keywords: real-time electricity markets; classification; non-stationarity; moving average (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: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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