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Forecasting energy markets using support vector machines

Author

Listed:
  • Papadimitriou, Theophilos
  • Gogas, Periklis
  • Stathakis, Efthimios

Abstract

In this paper we investigate the efficiency of a support vector machine (SVM)-based forecasting model for the next-day directional change of electricity prices. We first adjust the best autoregressive SVM model and then we enhance it with various related variables. The system is tested on the daily Phelix index of the German and Austrian control area of the European Energy Exchange (ΕΕΧ) wholesale electricity market. The forecast accuracy we achieved is 76.12% over a 200day period.

Suggested Citation

  • Papadimitriou, Theophilos & Gogas, Periklis & Stathakis, Efthimios, 2014. "Forecasting energy markets using support vector machines," Energy Economics, Elsevier, vol. 44(C), pages 135-142.
    • Handle: RePEc:eee:eneeco:v:44:y:2014:i:c:p:135-142
    DOI: 10.1016/j.eneco.2014.03.017
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    References listed on IDEAS

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    7. Redl, Christian & Haas, Reinhard & Huber, Claus & Böhm, Bernhard, 2009. "Price formation in electricity forward markets and the relevance of systematic forecast errors," Energy Economics, Elsevier, vol. 31(3), pages 356-364, May.
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    More about this item

    Keywords

    Support vector machines; Autoregressive model; European Energy Exchange; Day-ahead market;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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