Forecasting Wholesale Electricity Market Prices Considering Bidding Conditions Using Price Sensitivity

Abstract

This article proposes a sophisticated forecasting model to predict significant price volatility on the Japan Electric Power Exchange (JEPX) due to the growing influence of solar photovoltaics (PV) in the energy mix. As solar power generation continues to grow, it significantly impacts the daily and seasonal price trends in the market. This method employs a neural network that integrates daily prices, net electricity demand (total demand minus PV output), and underlying time‐series data to determine the objective variable, defined as the deviation from the average price over the past week. Incorporating price sensitivity data from JEPX increases the accuracy of the model. These data reflect how prices respond to market‐specified bid adjustments, including a variety of bidding, providing a nuanced understanding of market responses. The results demonstrate that adding multiple price sensitivities significantly improves the model's ability to detect price spikes and provides a robust tool for transmission and distribution system operators to manage risk and optimize their market strategies in an increasingly renewable energy‐dominated landscape. This approach not only addresses daily and seasonal price fluctuations but also aligns with broader sustainability goals as the share of solar PV generation continues to grow.