Abstract
This paper presents a proposal to estimate prices in the Mexican Wholesale Electric Market, which began operations in February 2016, which is why it moves from a scheme with a single bidder to a competitive market. There are particularities in the case of the Mexican market, the main one being the gradual increase in the number of competitors observed until now and, on the other hand, the geographic and technical characteristics of the electric power generation. The observed prices to date show great fluctuations in the observed data due to diverse aspects; among the stems we can mention the own seasonality of the demand of electrical energy, the availability of fuel, the problems of congestion in the electrical network, as well as other risks such as natural hazards. For the above, it is relevant in a market context to have a price estimation as accurate as possible for the decision-making of supply and demand. This paper proposes a methodology for the generation of electricity price estimation through the application of stable alpha regressions, since the behavior of the electric market has shown the presence of heavy tails in its price distribution.
Highlights
As part of the recent reform in the Mexican electricity sector, the electricity market has been liberalized, culminating with the creation of the Wholesale Electricity Market
This work presents an application of alpha-stable regression for estimation of forecasting of electricity prices in the Mexican market
The study presents the general framework of the wholesale electricity market in Mexico, as well as information regarding competitors and electricity prices
Summary
As part of the recent reform in the Mexican electricity sector, the electricity market has been liberalized, culminating with the creation of the Wholesale Electricity Market. This work presents an application of alpha-stable regression for estimation of forecasting of electricity prices in the Mexican market. The study presents the general framework of the wholesale electricity market in Mexico, as well as information regarding competitors and electricity prices. By estimating prices using alpha-stable regressions, we seek to capture this information and generate efficient forecasts for the decision-making of market participants. The results show an efficient adjustment of the observed price trend, despite the fact that there are outliers in the distribution of prices, especially because of the recent implementation of the competitive market This situation will be dynamic since competitors are entering the market in a constant manner, so there is an immediate impact of entry into the behavior of electricity prices.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
