Abstract
Electricity price forecasting has become an important aspect of promoting competition and safeguarding the interests of participants in electricity market. As market participants, both producers and consumers intent to contribute more efforts on developing appropriate price forecasting scheme to maximize their profits. This paper introduces a time series method developed by Box-Jenkins that applies autoregressive integrated moving average (ARIMA) model to address a best-fitted time-domain model based on a time series of historical price data. Using the model’s parameters determined from the stationarized time series of prices, the price forecasts in UK electricity market for 1 step ahead are estimated in the next day and the next week. The most suitable models are selected for them separately after comparing their prediction outcomes. The data of historical prices are obtained from UK three-month Reference Price Data from April 1st to July7th 2010.
Highlights
Worldwide electricity market reform makes the power industry transform from gradually monopoly to competition
This paper introduces a time series method developed by Box-Jenkins that applies autoregressive integrated moving average (ARIMA) model to address a best-fitted time-domain model based on a time series of historical price data
The price forecasts for 1 step ahead in the day on July 1st produced by the ARIMA(1,1,1) and the week from July 1st to July 7th produced by the ARIMA(1,1,1) are compared with their actual price values as shown in Figure 1 and Figure 2 respectively
Summary
Worldwide electricity market reform makes the power industry transform from gradually monopoly to competition. Each supplier and consumer wants to get the most benefits [1]. If the electricity price can be predicted accurately, generation side could handle the market dynamic and make optimal power generation plan. Demand side could select their time of power use and choose the electric quantity they want to buy for reducing the cost and increasing market competitiveness [2]. Government can formulate related policies by electricity prices and guide electricity market development [3]
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