Electricity price forecasting: A review of the state-of-the-art with a look into the future

Rafał Weron

No HSC/14/07, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the forecasting tools offer or that may be encountered. The paper also looks ahead and speculates on the directions EPF will or should take in the next decade or so. In particular, it postulates the need for objective comparative EPF studies involving (i) the same datasets, (ii) the same robust error evaluation procedures and (iii) statistical testing of the significance of the outperformance of one model by another.

Keywords: Electricity price forecasting; Day-ahead market; Seasonality; Autoregression; Neural network; Factor model; Forecasts combination; Probabilistic forecast (search for similar items in EconPapers)
JEL-codes: C22 C24 C38 C53 Q47 (search for similar items in EconPapers)
Pages: 92 pages
Date: 2014-05-12
New Economics Papers: this item is included in nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (546)

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_14_07.pdf Working paper version (application/pdf)
http://dx.doi.org/10.1016/j.ijforecast.2014.08.008 Final version, published in International Journal of Forecasting 30(4) (2014) 1030-1081 (doi: 10.1016/j.ijforecast.2014.08.008) (text/html)
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Journal Article: Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014)
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