Electricity Spot Price Forecast by Modelling Supply and Demand Curve

Abstract

Electricity price forecasting has been a booming field over the years, with many methods and techniques being applied with different degrees of success. It is of great interest to the industry sector, becoming a must-have tool for risk management. Most methods forecast the electricity price itself; this paper gives a new perspective to the field by trying to forecast the dynamics behind the electricity price: the supply and demand curves originating from the auction. Given the complexity of the data involved which include many block bids/offers per hour, we propose a technique for market curve modeling and forecasting that incorporates multiple seasonal effects and known market variables, such as wind generation or load. It is shown that this model outperforms the benchmarked ones and increases the performance of ensemble models, highlighting the importance of the use of market bids in electricity price forecasting.

Prediction of Matching Prices in Electricity Markets through Curve Representation

“…This assumption might be acceptable in markets with a high number of small offer/demands bids, but it is not acceptable in markets whose curves are clearly stepped as in Figure 3. In [6], the difference between demand and supply is also modeled, η(p) = d(p) − s(p), to obtain the price as the solution to equation η(p) = 0. The authors use a polynomial model of a sixth order to approximate this curve around the market clearing price.…”

“…The recent reviews of [3,4] show the main characteristics of the models and achievements obtained. Since the price of electricity results from intersecting the supply and demand curves, it is interesting to explore an approach that is based on the prediction of these curves to obtain the electricity price prediction as proposed in [5,6]. It should be noted that this approach addresses the prediction of two different objects: first, the curve predictions are obtained, and second the price predictions.…”

Competitive Behavior of Hydroelectric Power Plants under Uncertainty in Spot Market

“…Price forecast accuracy is an essential aspect as high accuracy reduces the risk of under or overestimating the revenue of a generating agent. In [17], the importance of the risk management and revenue forecast of the competing agents is discussed. The work presents an alternative technique for market curve modeling and forecasting from the incorporation of multiple seasonal effects and known market variables, such as wind generation or load as well as the consideration of the forecast of bids/market curve.…”