Forecasting electricity prices and market length for trading stochastic generation in markets with a single-price balancing mechanism

Research output: Chapter in Book/Report/Conference proceedingConference contribution book

Abstract

This paper presents the problem facing stochastic generators who are required to participate in electricity markets with a single-price balancing mechanism. The solution to this problem requires forecasts of multiple processes: weatherdependent generation, electricity and balancing prices, and the sign of the system length. By formulating the problem from a probabilistic perspective, it is demonstrated that a combination of well known and understood forecasting techniques can support market participants in both increasing revenue and reducing risk. Probabilistic forecasts of system length are produced using logistic regression on data widely available to market participants, and electricity prices are forecast using ARMAX models with automated fitting. Wind power forecasts are provided by a wind farm operator for a case study based on wind participating in the UK electricity market. It is shown that the proposed approach can be employed to increase revenue, by over 10% in the most extreme case, and to reduce risk
LanguageEnglish
Title of host publication36th International Symposium on Forecasting
Number of pages16
Publication statusPublished - 20 Jun 2016
Event36th International Symposium on Forecasting - Santander, Spain
Duration: 19 Jun 201622 Jun 2016
https://forecasters.org/isf/

Conference

Conference36th International Symposium on Forecasting
Abbreviated titleISF2016
CountrySpain
CitySantander
Period19/06/1622/06/16
Internet address

Fingerprint

Electricity
Farms
Wind power
Logistics
Power markets

Keywords

  • forecasting
  • electricity prices
  • market length
  • stochastic generators
  • probabilistic forecasts

Cite this

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title = "Forecasting electricity prices and market length for trading stochastic generation in markets with a single-price balancing mechanism",
abstract = "This paper presents the problem facing stochastic generators who are required to participate in electricity markets with a single-price balancing mechanism. The solution to this problem requires forecasts of multiple processes: weatherdependent generation, electricity and balancing prices, and the sign of the system length. By formulating the problem from a probabilistic perspective, it is demonstrated that a combination of well known and understood forecasting techniques can support market participants in both increasing revenue and reducing risk. Probabilistic forecasts of system length are produced using logistic regression on data widely available to market participants, and electricity prices are forecast using ARMAX models with automated fitting. Wind power forecasts are provided by a wind farm operator for a case study based on wind participating in the UK electricity market. It is shown that the proposed approach can be employed to increase revenue, by over 10{\%} in the most extreme case, and to reduce risk",
keywords = "forecasting, electricity prices, market length, stochastic generators, probabilistic forecasts",
author = "Jethro Browell",
year = "2016",
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day = "20",
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booktitle = "36th International Symposium on Forecasting",

}

Browell, J 2016, Forecasting electricity prices and market length for trading stochastic generation in markets with a single-price balancing mechanism. in 36th International Symposium on Forecasting . 36th International Symposium on Forecasting , Santander, Spain, 19/06/16.

Forecasting electricity prices and market length for trading stochastic generation in markets with a single-price balancing mechanism. / Browell, Jethro.

36th International Symposium on Forecasting . 2016.

Research output: Chapter in Book/Report/Conference proceedingConference contribution book

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