Forecasting Balancing Market Prices Using Hidden Markov Models
2016 (English)In: 2016 13TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM), IEEE conference proceedings, 2016Conference paper (Refereed)
This paper presents a Hidden Markov Model (HMM) based method to predict the prices and trading volumes in the electricity balancing markets. The HMM are quite powerful in modelling stochastic processes where the underlying dynamics are not apparent. The proposed method provides both one hour and 12-36 hour ahead forecasts. The first is mostly useful to wind/solar producers in order to compensate their production imbalances while the second is important when submitting the offers to the day ahead markets. The results are compared to the ones from Markov-autoregressive model.
Place, publisher, year, edition, pages
IEEE conference proceedings, 2016.
, International Conference on the European Energy Market, ISSN 2165-4077
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:kth:diva-193848DOI: 10.1109/EEM.2016.7521229ISI: 000382910700053ScopusID: 2-s2.0-84983287360ISBN: 978-1-5090-1298-5OAI: oai:DiVA.org:kth-193848DiVA: diva2:1037704
13th International Conference on the European Energy Market (EEM), JUN 06-09, 2016, Porto, PORTUGAL
QC 201610172016-10-172016-10-112016-10-26Bibliographically approved