Mixed models for short-run forecasting of electricity prices: Application for the Spanish market

Short-run forecasting of electricity prices has become necessary for power generation unit schedule, since it is the basis of every profit maximization strategy. In this article a new and very easy method to compute accurate forecasts for electricity prices using mixed models is proposed. The main idea is to develop an efficient tool for one-step-ahead forecasting in the future, combining several prediction methods for which forecasting performance has been checked and compared for a span of several years. Also as a novelty, the 24 hourly time series has been modelled separately, instead of the complete time series of the prices. This allows one to take advantage of the homogeneity of these 24 time series. The purpose of this paper is to select the model that leads to smaller prediction errors and to obtain the appropriate length of time to use for forecasting. These results have been obtained by means of a computational experiment. A mixed model which combines the advantages of the two new models discussed is proposed. Some numerical results for the Spanish market are shown, but this new methodology can be applied to other electricity markets as wel

Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities

In the current uncertain context that affects both the world economy and the energy sector, with the rapid increase in the prices of oil and gas and the very unstable political situation that affects some of the largest raw materials’ producers, there is a need for developing efficient and powerful quantitative tools that allow to model and forecast fossil fuel prices, CO2 emission allowances prices as well as electricity prices. This will improve decision making for all the agents involved in energy issues. Although there are papers focused on modelling fossil fuel prices, CO2 prices and electricity prices, the literature is scarce on attempts to consider all of them together. This paper focuses on both building a multivariate model for the aforementioned prices and comparing its results with those of univariate ones, in terms of prediction accuracy (univariate and multivariate models are compared for a large span of days, all in the first 4 months in 2011) as well as extracting common features in the volatilities of the prices of all these relevant magnitudes. The common features in volatility are extracted by means of a conditionally heteroskedastic dynamic factor model which allows to solve the curse of dimensionality problem that commonly arises when estimating multivariate GARCH models. Additionally, the common volatility factors obtained are useful for improving the forecasting intervals and have a nice economical interpretation. Besides, the results obtained and methodology proposed can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets

Electricity price forecasting accounting for renewable energies: optimal combined forecasts

Electricity price forecasting is an interesting problem for all the agents involved in electricity market operation. For instance, every profit maximisation strategy is based on the computation of accurate one-day-ahead forecasts, which is why electricity price forecasting has been a growing field of research in recent years. In addition, the increasing concern about environmental issues has led to a high penetration of renewable energies, particularly wind. In some European countries such as Spain, Germany and Denmark, renewable energy is having a deep impact on the local power markets. In this paper, we propose an optimal model from the perspective of forecasting accuracy, and it consists of a combination of several univariate and multivariate time series methods that account for the amount of energy produced with clean energies, particularly wind and hydro, which are the most relevant renewable energy sources in the Iberian Market. This market is used to illustrate the proposed methodology, as it is one of those markets in which wind power production is more relevant in terms of its percentage of the total demand, but of course our method can be applied to any other liberalised power market. As far as our contribution is concerned, first, the methodology proposed by García-Martos et al(2007 and 2012) is generalised twofold: we allow the incorporation of wind power production and hydro reservoirs, and we do not impose the restriction of using the same model for 24h. A computational experiment and a Design of Experiments (DOE) are performed for this purpose. Then, for those hours in which there are two or more models without statistically significant differences in terms of their forecasting accuracy, a combination of forecasts is proposed by weighting the best models(according to the DOE) and minimising the Mean Absolute Percentage Error (MAPE). The MAPE is the most popular accuracy metric for comparing electricity price forecasting models. We construct the combi nation of forecasts by solving several nonlinear optimisation problems that allow computation of the optimal weights for building the combination of forecasts. The results are obtained by a large computational experiment that entails calculating out-of-sample forecasts for every hour in every day in the period from January 2007 to Decem ber 2009. In addition, to reinforce the value of our methodology, we compare our results with those that appear in recent published works in the field. This comparison shows the superiority of our methodology in terms of forecasting accuracy

NEUROSCIENCE AND MANAGEMENT: CHALLENGES FOR BEHAVIOuRAL RESEARCH IN ORGANIZATIONS

The objective of this paper is to explore how the application of neuroscience to management research can facilitate a better understanding of some issues concerning to people behaviour in organizations. In recent years, the ability of researchers to directly observe brain activity has increased tremendously. This paper presented extant neuroscientific findings and showed some examples on how they could be incorporated into management research. We present two studies on honesty and social loafing in teams to inform management researchers when and how neuroscientific methods can complement traditional empirical approaches such as interviews or surveys

Performance and Professional Skills in an Online Java Programming Course for Engineering Students

The main purpose of this work is to describe the case of an online Java Programming course for engineering students to learn computer programming and to practice other non-technicalabilities: online training, self-assessment, teamwork and use of foreign languages. It is important that students develop confidence and competence in these skills, which will be required later in their professional tasks and/or in other engineering courses (life-long learning). Furthermore, this paper presents the pedagogical methodology, the results drawn from this experience and an objective performance comparison with another conventional (face-to-face) Java course

Valoración de las asignaturas de Expresión Gráfica dentro de los planos de los proyectos fin de carrera

En la ETSII-UPM las asignaturas troncales de Dibujo Técnico bajo diferentes denominaciones se imparten en el primer curso de las titulaciones de Ingeniería Industrial e Ingeniería Química. Dado que suele ser el PFC el primer documento en el que generalmente los alumnos incluyen planos, se pretende conocer y valorar el empleo que hacen de los conocimientos adquiridos en las asignaturas de Dibujo Técnico en la elaboración de los planos de los PFC. A través del análisis de los planos incluidos en los PFC se pretende conocer el grado de aplicación de estos conocimientos específicos en las distintas intensificaciones, la temática de los proyectos, tipo de información que contienen, empleo adecuado de las normas, herramientas empleadas en su elaboración, normativas empleadas, etc., con el fin detectar deficiencias, errores en conocimientos, malas prácticas en su ejecución, etc. y así disponer de información adicional que permita ajustar los contenidos, evaluación y metodología de las materias impartidas con el fin de mejorar la docencia. El estudio se ha realizado tomando como referencia los PFC de los últimos 4 años, para todas las especialidades y convocatorias

A dynamic factor model for mid-term forecasting of wind power generation

The main objective of this paper is the development and application of multivariate time series models for forecasting aggregated wind power production in a country or region. Nowadays, in Spain, Denmark or Germany there is an increasing penetration of this kind of renewable energy, somehow to reduce energy dependence on the exterior, but always linked with the increaseand uncertainty affecting the prices of fossil fuels. The disposal of accurate predictions of wind power generation is a crucial task both for the System Operator as well as for all the agents of the Market. However, the vast majority of works rarely onsider forecasting horizons longer than 48 hours, although they are of interest for the system planning and operation. In this paper we use Dynamic Factor Analysis, adapting and modifying it conveniently, to reach our aim: the computation of accurate forecasts for the aggregated wind power production in a country for a forecasting horizon as long as possible, particularly up to 60 days (2 months). We illustrate this methodology and the results obtained for real data in the leading country in wind power production: Denmar

Simuladores de conducción urbanos: una técnica de optimización de bases de datos visuales utilizando aspectos perceptivos

El objetivo del presente artículo es exponer una técnica de optimización de entornos virtuales urbanos, los cuales constituyen bases de datos visuales orientadas a su utilización en simuladores de conducción. La base de la técnica se fundamenta en la identificación de aquellos factores que intervienen en el diseño constructivo del escenario virtual, determinando si son estadísticamente significativos en localidad y en el grado de realismo percibidos por el usuario del simulador gráfico. Este planteamiento supone una nueva vía de simplificación de este tipo de escenarios complejos ya que permite decidir la combinación óptima de modificaciones en las geometrías de los modelos, de tal forma que la base de datos visual resultante se comporte adecuadamente en tiempo real sin comprometerla latencia de la simulación y mostrando al mismo tiempo al usuario final un escenario totalmente reconocible e inmersivo. Se establece un modelo estadístico basado en el diseño de experimentos donde se estudia el efecto que, sobre cada una de las variables respuestas elegidas, tienen el conjunto de factores de diseño del escenario virtual. El modelo ha sido validado experimentalmente en un escenario virtual implementado en un simulador de conducción de bajo coste. La ventaja fundamental de esta contribución es la asignación selectiva de los recursos necesarios a la hora de modelar las geometrías del escenario, permitiendo la reducción de costes y tiempos de desarrollo durante el proceso de generación 3D

Unit Commitment and Electricity Prices Forecasting for Market Strategy Preparation in Interconnected Systems

In this paper we present a solution for building a better strategy to take part in external electricity markets. For an optimal strategy development, both the internal system costs as well as the future values of the series of electricity prices in external markets need to be known. But in practice, the real problems that must be faced are that both future electricity prices and costs are unknown. Thus, the first ones must be modeled and forecasted and the costs must be calculated. Our methodology for building an optimal strategy consists of three steps: The first step is modeling and forecasting market prices in external systems. The second step is the cost calculation on internal system taking into account the expected prices in the first step. The third step is based on the results of the previous steps, and consists of preparing the bids for external markets. The main goal is to reduce consumers' costs unlike many others that are oriented to increase GenCo's profits

Relationship of accelerometer-measured inactivity and sleep efficiency with body mass index in prefrail elders

A decrease of body mass and body mass index (BMI) in frail and prefrail elders leads to adverse events, increasing the risk of morbimortality in this vulnerable population. Nevertheless, these events might be also modulated by physical inactivity and sleep quality. To analyse the relationship between physical inactivity time and sleep efficiency with the BMI of prefrail elders. This pilot study of the FRAGSALUD project included a first batch of 20 prefrail elders (13 women and 7 men, aged 73±6 years). Prefrailty was classified according to Fried criteria, meeting at least one criteria. Physical inactivity time (min/day) and sleep efficiency values were obtained using a GeneActiv triaxial accelerometer, set to 40Hz, and worn on the wrist of the non-dominant hand, 24 hours a day for seven consecutives days. Body mass and height were registered in order to calculate BMI. Spearman correlations were performed. Those prefrail elders with higher BMI showed a better sleep efficiency (r = 0.82, p 0.05). In our study, the higher the BMI presented, the better sleep efficiency achieved by prefrail elders, what has been previously related with a better quality of life and wellbeing. However, although sedentary behaviour and inactivity have been highlighted as relevant health factors, in our patients there was not found a relationship between inactivity and the BMI of prefrail elders. Future results of this project will show the impact on these outcomes of a health educational program in frail a prefrail elders.FEDE