A seasonal ARIMA model with exogenous variables for elspot electricity prices in Sweden
2013 (English)In: European Energy Market (EEM), 2013 10th International Conference on the, IEEE , 2013, 6607293- p.Conference paper (Refereed)
In a spot market, price prediction plays an indispensable role in maximizing the benefit of a producer as well as optimizing the utility of a consumer. This paper develops a seasonal ARIMA model with exogenous variables (SARIMAX) to predict day-ahead electricity prices in Elspot market, the largest day-ahead market for power trading in the world. Compared with the basic ARIMA model, SARIMAX has two distinct features: 1) A seasonal component is introduced to cope with weekly effect on price fluctuations. 2) Exogenous variables that exert influence on electricity prices are incorporated to make price predictions in the context of an integrated energy market. A detailed implementation of SARIMAX for Elspot market in Sweden is presented.
Place, publisher, year, edition, pages
IEEE , 2013. 6607293- p.
, International Conference on the European Energy Market, EEM, ISSN 2165-4077
electricity market, exogenous variables, price prediction, Seasonal ARIMA model, time series
Energy Systems Economics and Business
IdentifiersURN: urn:nbn:se:kth:diva-140970DOI: 10.1109/EEM.2013.6607293ScopusID: 2-s2.0-84891618838ISBN: 978-147992008-2OAI: oai:DiVA.org:kth-140970DiVA: diva2:695857
10th International Conference on the European Energy Market, EEM 2013; Stockholm; Sweden; 27 May 2013 through 31 May 2013
QC 201402122014-02-122014-02-052014-02-12Bibliographically approved