Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach

Rafał Weron

in HSC Books from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: The book is divided into four chapters. The first one introduces the structure of deregulated, competitive electricity markets with the power pools and power exchanges as the basic marketplaces for price discovery. Chapter 2 reviews the so-called stylized facts of selected power markets. In particular, the spiky nature of electricity prices, the different levels of seasonality inherent in load and price time series, the anti-persistent behavior of prices and the heavy-tailed distributions of returns. Chapter 3 reviews load forecasting techniques, with particular emphasis on statistical methods. Various models with and without exogenous variables are illustrated and compared in two comprehensive case studies. Finally, Chapter 4 discusses price modeling and forecasting. Six different approaches are surveyed and two – statistical and quantitative – are further studied. As in the previous chapter, the theoretical considerations and techniques are illustrated and evaluated using real-world data.

Date: 2006
Note: Published by Wiley, Chichester
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (343)

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