Economics at your fingertips  

Electricity price forecasting

Rafał Weron () and Florian Ziel

No HSC/18/08, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology

Abstract: Electricity price forecasting (EPF) is a branch of energy forecasting on the interface between econometrics/statistics and engineering, which focuses on predicting the spot and forward prices in wholesale electricity markets. Its beginnings can be traced back to the early 1990s, when power sector deregulation led to the introduction of competitive markets in the UK and Scandinavia. The changes quickly spread throughout Europe and North America, and nowadays - in many countries worldwide - electricity is traded under market rules using spot and derivative contracts. Over the last 25 years, a variety of methods and ideas have been tried for EPF, with varying degrees of success. In this chapter we first briefly discuss the forecasting horizons and the types of forecasts, then review the forecasting tools and the evaluation techniques used in the EPF literature.

Keywords: Electricity price forecasting; Probabilistic forecast; Ensemble forecast; Day-ahead market; Intraday market; Regression; Computational intelligence; Reduced-form model; Multi-agent simulation; Model evaluation; Predictive ability test (search for similar items in EconPapers)
JEL-codes: C22 C32 C45 C51 C53 C70 L11 Q41 Q47 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2018-09-09
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: Track citations by RSS feed

Downloads: (external link) Original version (application/pdf)

Related works:
Working Paper: Electricity price forecasting (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().

Page updated 2021-05-02
Handle: RePEc:wuu:wpaper:hsc1808