Abstract
The work described in this article results from a problem proposed by the company EDP - Energy Solutions Operator, in the framework of ESGI 119th, European Study Group with Industry, during July 2016. Markets for electricity have two characteristics: the energy is mainly not storable and volatile prices at exchanges are issues to take into consideration. These two features, between others, contribute significantly to the risk of a planning process. The aim of the problem is the short term forecast of hourly energy prices. In present work, ARIMA modeling is considered to obtain a predictive model. The results show that in the time series traditional framework the season of the year, month or winter/summer period revealed significant explanatory variables in the different estimated models. The in-sample forecast is promising, conducting to adequate measures of performance.
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A time series is classified as stationary when it is developed in time around a constant mean.
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Acknowledgements
This work was supported by Portuguese funds through the Center of Naval Research (CINAV), Portuguese Naval Academy, Portugal and The Portuguese Foundation for Science and Technology (FCT), through the Center for Computational and Stochastic Mathematics (CEMAT), University of Lisbon, Portugal, project UID/Multi/04621/2019.
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Teodoro, M.F., Andrade, M.A.P. (2019). Some Issues About Iberian Energy Prices. In: Misra, S., et al. Computational Science and Its Applications – ICCSA 2019. ICCSA 2019. Lecture Notes in Computer Science(), vol 11621. Springer, Cham. https://doi.org/10.1007/978-3-030-24302-9_10
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