Efficient algorithm for short-term prediction of electricity prices on Polish balancing market

• Autorzy: Mariusz Kozakiewicz , Marek Kwasek
• Języki publikacji: EN

Abstrakty

EN

We present an efficient algorithm for computing short-term prediction of deviation settlement price (CRO) on Polish balancing electricity market. Because of the multi-seasonal character of electricity prices. SAR1MA processes are commonly used to model and predict their dynamics. The disadvantage of such approach is relatively long computation time, especially for longer test periods, due to computationally demanding procedures for fitting SAR1MA model parameters. Our algorithm not only provides prediction of better quality, but also does this in a fraction of time comparing to algorithms based on SAR1MA models. In order to make the paper widely accessible, we provide a detailed overview of competitive electricity market structure altogether with the issues of liberalization processes. We focus especially on the balancing market mechanisms and present the specifics of Polish regulations which we use in our prediction algorithm.

Słowa kluczowe

EN

Market; Algorithms; Forecasting models

PL

Rynek; Algorytmy; Modele prognostyczne

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2012
• Tom: Mathematical, econometrical and computer methods In finance and insurance 2010
• Strony: 69--86

Twórcy

autor

Mariusz Kozakiewicz

• Warsaw School of Economics, Poland

autor

Marek Kwasek

• Warsaw School of Economics, Poland

Bibliografia

• Bunn D. E., [ed.], Modeling prices in competitive electricity markets, Wiley 2004
• Kozakiewicz M., Kwas M., Predicting electricity prices on Polish balancing market using balancing offers (in Polish), statutory research technical report of Econometric Institute, WSE 2010
• Kozakiewicz M., Kwas M., Predicting electricity prices on Polish balancing market using SARIMA models (in Polish), Annals of the Collegium of Economic Analysis. WSE, vol. 22, 2010
• Kwas M., Econometric analysis in competitive electricity markets (in Polish), Proceedings of Quantitative Methods in Economics XI, SGGW 2010
• PSE Operator S.A., MANUAL OF TRANSMISSION SYSTEM OPERATION. Balancing the system and managing system limitations (in Polish), 2010
• Szczygieł L., chap. Electricity market model, in Which model of electricity market?, "The Library of Regulator" series (in Polish), Energy Regulatory Office 2001
• Weron R., Modeling and forecasting electricity loads and prices, Wiley 2006