Short term electricity price forecast model

Yang, Furong (2006) Short term electricity price forecast model.

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Abstract:The APX Forecast Model developed in this paper is intended as a fundamental tool for the Netherlands short-term electricity price forecast, to be used in a wide range of application. The main effort is placed on providing an indicator of market price spike, and the following day hourly APX prices estimation based on available information at hand. The model is built on the 2005 historical data of the Netherlands electricity market, incorporating factors like national load, net import, APX price, imbalance price, wind plant generation output and etc. Research results illustrate that 63% of price spike hours could be caught by the forecast hourly prices, and 65.93% of total price spike hours could be alarmed by reserve index, but 30.56% of the total spike alarms really come true. The results could be different by taking different definitions of price spike and reserve index. In this paper, we define price spike as the moment actual APX price is 50 euros higher than the marginal cost, and reserve index equals (Available. capacity ¿ National load) / Available. Capacity. For all the scenarios, model performance would decline with the worse data source.
Item Type:Essay (Master)
Clients:
Essent EMG
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/57859
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