34,450 research outputs found
A looming revolution: Implications of self-generation for the risk exposure of retailers. ESRI WP597, September 2018
Managing the risk associated with uncertain load has always been a challenge for retailers in electricity markets. Yet
the load variability has been largely predictable in the past, especially when aggregating a large number of consumers. In
contrast, the increasing penetration of unpredictable, small-scale electricity generation by consumers, i.e. self-generation,
constitutes a new and yet greater volume risk. Using value-at-risk metrics and Monte Carlo simulations based on German
historical loads and prices, the contribution of decentralized solar PV self-generation to retailers’ load and revenue risks is
assessed. This analysis has implications for the consumers’ welfare and the overall efficiency of electricity markets
Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting
Year-ahead forecasting of electricity prices is an important issue in the current context of
electricity markets. Nevertheless, only one-day-ahead forecasting is commonly tackled up in
previous published works. Moreover, methodology developed for the short-term does not work
properly for long-term forecasting.
In this paper we provide a seasonal extension of the Non-Stationary Dynamic Factor Analysis,
to deal with the interesting problem (both from the economic and engineering point of view) of
long term forecasting of electricity prices. Seasonal Dynamic Factor Analysis (SeaDFA) allows
to deal with dimensionality reduction in vectors of time series, in such a way that extracts
common and specific components. Furthermore, common factors are able to capture not only
regular dynamics (stationary or not) but also seasonal one, by means of common factors
following a multiplicative seasonal VARIMA(p,d,q)Ă—(P,D,Q)s model.
Besides, a bootstrap procedure is proposed to be able to make inference on all the parameters
involved in the model. A bootstrap scheme developed for forecasting includes uncertainty due
to parameter estimation, allowing to enhance the coverage of forecast confidence intervals.
Concerning the innovative and challenging application provided, bootstrap procedure developed
allows to calculate not only point forecasts but also forecasting intervals for electricity prices
Modeling and forecasting electricity spot prices: A functional data perspective
Classical time series models have serious difficulties in modeling and
forecasting the enormous fluctuations of electricity spot prices. Markov regime
switch models belong to the most often used models in the electricity
literature. These models try to capture the fluctuations of electricity spot
prices by using different regimes, each with its own mean and covariance
structure. Usually one regime is dedicated to moderate prices and another is
dedicated to high prices. However, these models show poor performance and there
is no theoretical justification for this kind of classification. The merit
order model, the most important micro-economic pricing model for electricity
spot prices, however, suggests a continuum of mean levels with a functional
dependence on electricity demand. We propose a new statistical perspective on
modeling and forecasting electricity spot prices that accounts for the merit
order model. In a first step, the functional relation between electricity spot
prices and electricity demand is modeled by daily price-demand functions. In a
second step, we parameterize the series of daily price-demand functions using a
functional factor model. The power of this new perspective is demonstrated by a
forecast study that compares our functional factor model with two established
classical time series models as well as two alternative functional data models.Comment: Published in at http://dx.doi.org/10.1214/13-AOAS652 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
A Holistic Approach to Forecasting Wholesale Energy Market Prices
Electricity market price predictions enable energy market participants to
shape their consumption or supply while meeting their economic and
environmental objectives. By utilizing the basic properties of the
supply-demand matching process performed by grid operators, known as Optimal
Power Flow (OPF), we develop a methodology to recover energy market's structure
and predict the resulting nodal prices by using only publicly available data,
specifically grid-wide generation type mix, system load, and historical prices.
Our methodology uses the latest advancements in statistical learning to cope
with high dimensional and sparse real power grid topologies, as well as scarce,
public market data, while exploiting structural characteristics of the
underlying OPF mechanism. Rigorous validations using the Southwest Power Pool
(SPP) market data reveal a strong correlation between the grid level mix and
corresponding market prices, resulting in accurate day-ahead predictions of
real time prices. The proposed approach demonstrates remarkable proximity to
the state-of-the-art industry benchmark while assuming a fully decentralized,
market-participant perspective. Finally, we recognize the limitations of the
proposed and other evaluated methodologies in predicting large price spike
values.Comment: 14 pages, 14 figures. Accepted for publication in IEEE Transactions
on Power System
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