Hybrid Modelling Approaches for Forecasting Energy Spot Prices in EPEC market

Tahir Miriyev, Alessandro Contu, Kevin Schafers and Ion Gabriel Ion

Papers from arXiv.org

Abstract: In this work we considered several hybrid modelling approaches for forecasting energy spot prices in EPEC market. Hybridization is performed through combining a Naive model, Fourier analysis, ARMA and GARCH models, a mean-reversion and jump-diffusion model, and Recurrent Neural Networks (RNN). Training data was given in terms of electricity prices for 2013-2014 years, and test data as a year of 2015.

Date: 2020-10
New Economics Papers: this item is included in nep-big, nep-ene, nep-ets and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2010.08400

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