Recent advances in electricity price forecasting: A review of probabilistic forecasting

Jakub Nowotarski and Rafał Weron

No HSC/16/07, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: Since the inception of competitive power markets two decades ago, electricity price forecasting (EPF) has gradually become a fundamental process for energy companies' decision making mechanisms. Over the years, the bulk of research has concerned point predictions. However, the recent introduction of smart grids and renewable integration requirements has had the effect of increasing the uncertainty of future supply, demand and prices. Academics and practitioners alike have come to understand that probabilistic electricity price (and load) forecasting is now more important for energy systems planning and operations than ever before. With this paper we offer a tutorial review of probabilistic EPF and present much needed guidelines for the rigorous use of methods, measures and tests, in line with the paradigm of 'maximizing sharpness subject to reliability'. The paper can be treated as an update and a further extension of the otherwise comprehensive EPF review of Weron (2014, IJF) or as a standalone treatment of a fascinating and underdeveloped topic, that has a much broader reach than EPF itself.

Keywords: Electricity price forecasting; Probabilistic forecast; Reliability; Sharpness; Day-ahead market; Autoregression; Neural network (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C53 Q47 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2016-09-25
New Economics Papers: this item is included in nep-cmp and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Forthcoming in Renewable & Sustainable Energy Reviews, 2017, DOI: 10.1016/j.rser.2017.05.234

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Related works:
Journal Article: Recent advances in electricity price forecasting: A review of probabilistic forecasting (2018)
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