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Forecasting and Modelling of Electricity Prices by Radial Basis Functions: Turkish Electricity Market Experiment

Cenktan Özyildirim and Mehmet Fuat Beyazit
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Cenktan Özyildirim: İstanbul Bilgi Üniversitesi
Mehmet Fuat Beyazit: İstanbul Bilgi Üniversitesi

Iktisat Isletme ve Finans, 2014, vol. 29, issue 344, 31-54

Abstract: In the past three decades the electricity has ceased to be a public good and was deregulated in many countries including the developing ones. Therefore the short-term price forecasts have become very important for all the market players in a new competitive environment. In this paper the hourly data of the Turkish electricity market are examined, considering the market players are interested in the evolution of hourly electricity prices and the aim is to forecast the hourly prices as close as possible to the market price to produce proper cash flow estimations. It is shown that the hourly prices have a recurring structure in time and this effect forms a rational for Radial Basis Functions method besides the conventional linear regression method in researching the price structure. Radial Basis Functions method produces slightly better estimation errors in terms of out of sample performance for a specific estimation period.

Keywords: Radial Basis Functions; Electricity Price Forecasting; Energy Markets (search for similar items in EconPapers)
JEL-codes: C14 C53 Q41 (search for similar items in EconPapers)
Date: 2014
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