An Improved Deep Learning Model for Electricity Price Forecasting

Accurate electricity price forecasting (EPF) is important for the purpose of bidding strategies and minimizing the risk for market participants in the competitive electricity market. Besides that, EPF becomes critically important for effective planning and efficient operation of a power system due to deregulation of electricity industry. However, accurate EPF is very challenging due to complex nonlinearity in the time series-based electricity prices. Hence, this work proposed two-fold contributions which are (1) effective time series preprocessing module to ensure feasible time-series data is fitted in the deep learning model, and (2) an improved long short-term memory (LSTM) model by incorporating linear scaled hyperbolic tangent (LiSHT) layer in the EPF. In this work, the time series pre-processing module adopted linear trend of the correlated features of electricity price series and the time series are tested by using Augmented Dickey Fuller (ADF) test method. In addition, the time series are transformed using boxcox transformation method in order to satisfy the stationarity property. Then, an improved LSTM prediction module is proposed to forecast electricity prices where LiSHT layer is adopted to optimize the parameters of the heterogeneous LSTM. This study is performed using the Australian electricity market price, load and renewable energy supply data. The experimental results obtained show that the proposed EPF framework performed better compared to previous techniques

Predictive Trading Strategy for Physical Electricity Futures

This article presents an original predictive strategy, based on a new mid-term forecasting model, to be used for trading physical electricity futures. The forecasting model is used to predict the average spot price, which is used to estimate the Risk Premium corresponding to electricity futures trade operations with a physical delivery. A feed-forward neural network trained with the extreme learning machine algorithm is used as the initial implementation of the forecasting model. The predictive strategy and the forecasting model only need information available from electricity derivatives and spot markets at the time of negotiation. In this paper, the predictive trading strategy has been applied successfully to the Iberian Electricity Market (MIBEL). The forecasting model was applied for the six types of maturities available for monthly futures in the MIBEL, from 1 to 6 months ahead. The forecasting model was trained with MIBEL price data corresponding to 44 months and the performances of the forecasting model and of the predictive strategy were tested with data corresponding to a further 12 months. Furthermore, a simpler forecasting model and three benchmark trading strategies are also presented and evaluated using the Risk Premium in the testing period, for comparative purposes. The results prove the advantages of the predictive strategy, even using the simpler forecasting model, which showed improvements over the conventional benchmark trading strategy, evincing an interesting hedging potential for electricity futures trading