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A seasonal ARIMA model with exogenous variables for elspot electricity prices in Sweden
KTH, School of Electrical Engineering (EES), Industrial Information and Control Systems.ORCID iD: 0000-0002-9860-4472
KTH, School of Electrical Engineering (EES), Industrial Information and Control Systems.
KTH, School of Electrical Engineering (EES), Industrial Information and Control Systems.ORCID iD: 0000-0003-3014-5609
2013 (English)In: European Energy Market (EEM), 2013 10th International Conference on the, IEEE , 2013, 6607293- p.Conference paper, Published paper (Refereed)
Abstract [en]

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.
Series
International Conference on the European Energy Market, EEM, ISSN 2165-4077
Keyword [en]
electricity market, exogenous variables, price prediction, Seasonal ARIMA model, time series
National Category
Energy Systems Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-140970DOI: 10.1109/EEM.2013.6607293Scopus ID: 2-s2.0-84891618838ISBN: 978-147992008-2 (print)OAI: oai:DiVA.org:kth-140970DiVA: diva2:695857
Conference
10th International Conference on the European Energy Market, EEM 2013; Stockholm; Sweden; 27 May 2013 through 31 May 2013
Note

QC 20140212

Available from: 2014-02-12 Created: 2014-02-05 Last updated: 2014-02-12Bibliographically approved

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Sandels, ClaesNordström, Lars

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf