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Electricity Spot Price Forecast by Modelling Supply and Demand Curve

Author

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  • Miguel Pinhão

    (NOVA School of Science and Technology, Department of Mathematics, NOVA Math, 2829-516 Caparica, Portugal
    EDP—Energias de Portugal, 1249-300 Lisboa, Portugal)

  • Miguel Fonseca

    (NOVA School of Science and Technology, Department of Mathematics, NOVA Math, 2829-516 Caparica, Portugal)

  • Ricardo Covas

    (EDP—Energias de Portugal, 1249-300 Lisboa, Portugal)

Abstract

Electricity price forecasting has been a booming field over the years, with many methods and techniques being applied with different degrees of success. It is of great interest to the industry sector, becoming a must-have tool for risk management. Most methods forecast the electricity price itself; this paper gives a new perspective to the field by trying to forecast the dynamics behind the electricity price: the supply and demand curves originating from the auction. Given the complexity of the data involved which include many block bids/offers per hour, we propose a technique for market curve modeling and forecasting that incorporates multiple seasonal effects and known market variables, such as wind generation or load. It is shown that this model outperforms the benchmarked ones and increases the performance of ensemble models, highlighting the importance of the use of market bids in electricity price forecasting.

Suggested Citation

  • Miguel Pinhão & Miguel Fonseca & Ricardo Covas, 2022. "Electricity Spot Price Forecast by Modelling Supply and Demand Curve," Mathematics, MDPI, vol. 10(12), pages 1-20, June.
    • Handle: RePEc:gam:jmathe:v:10:y:2022:i:12:p:2012-:d:836488
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    References listed on IDEAS

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