Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market
This paper presents novel intraday session models for price forecasts (ISMPF models) for hourly price forecasting in the six intraday sessions of the Iberian electricity market (MIBEL) and the analysis of mean absolute percentage errors (MAPEs) obtained with suitable combinations of their input vari...
Main Authors: | , , , |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2016-09-01
|
Series: | Energies |
Subjects: | |
Online Access: | http://www.mdpi.com/1996-1073/9/9/721 |
id |
doaj-c9d13524280c426599fcb3f25290071a |
---|---|
record_format |
Article |
spelling |
doaj-c9d13524280c426599fcb3f25290071a2020-11-24T22:33:44ZengMDPI AGEnergies1996-10732016-09-019972110.3390/en9090721en9090721Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity MarketClaudio Monteiro0Ignacio J. Ramirez-Rosado1L. Alfredo Fernandez-Jimenez2Pedro Conde3Department of Electrical and Computer Engineering, Faculty of Engineering of the University of Porto (FEUP), Porto 4200-465, PortugalElectrical Engineering Department, University of Zaragoza, Zaragoza 50018, SpainElectrical Engineering Department, University of La Rioja, Logroño 26004, SpainDepartment of Electrical and Computer Engineering, Faculty of Engineering of the University of Porto (FEUP), Porto 4200-465, PortugalThis paper presents novel intraday session models for price forecasts (ISMPF models) for hourly price forecasting in the six intraday sessions of the Iberian electricity market (MIBEL) and the analysis of mean absolute percentage errors (MAPEs) obtained with suitable combinations of their input variables in order to find the best ISMPF models. Comparisons of errors from different ISMPF models identified the most important variables for forecasting purposes. Similar analyses were applied to determine the best daily session models for price forecasts (DSMPF models) for the day-ahead price forecasting in the daily session of the MIBEL, considering as input variables extensive hourly time series records of recent prices, power demands and power generations in the previous day, forecasts of demand, wind power generation and weather for the day-ahead, and chronological variables. ISMPF models include the input variables of DSMPF models as well as the daily session prices and prices of preceding intraday sessions. The best ISMPF models achieved lower MAPEs for most of the intraday sessions compared to the error of the best DSMPF model; furthermore, such DSMPF error was very close to the lowest limit error for the daily session. The best ISMPF models can be useful for MIBEL agents of the electricity intraday market and the electric energy industry.http://www.mdpi.com/1996-1073/9/9/721short-term forecastingelectricity market pricesIberian electricity market (MIBEL)daily session pricesintraday session prices |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Claudio Monteiro Ignacio J. Ramirez-Rosado L. Alfredo Fernandez-Jimenez Pedro Conde |
spellingShingle |
Claudio Monteiro Ignacio J. Ramirez-Rosado L. Alfredo Fernandez-Jimenez Pedro Conde Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market Energies short-term forecasting electricity market prices Iberian electricity market (MIBEL) daily session prices intraday session prices |
author_facet |
Claudio Monteiro Ignacio J. Ramirez-Rosado L. Alfredo Fernandez-Jimenez Pedro Conde |
author_sort |
Claudio Monteiro |
title |
Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market |
title_short |
Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market |
title_full |
Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market |
title_fullStr |
Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market |
title_full_unstemmed |
Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market |
title_sort |
short-term price forecasting models based on artificial neural networks for intraday sessions in the iberian electricity market |
publisher |
MDPI AG |
series |
Energies |
issn |
1996-1073 |
publishDate |
2016-09-01 |
description |
This paper presents novel intraday session models for price forecasts (ISMPF models) for hourly price forecasting in the six intraday sessions of the Iberian electricity market (MIBEL) and the analysis of mean absolute percentage errors (MAPEs) obtained with suitable combinations of their input variables in order to find the best ISMPF models. Comparisons of errors from different ISMPF models identified the most important variables for forecasting purposes. Similar analyses were applied to determine the best daily session models for price forecasts (DSMPF models) for the day-ahead price forecasting in the daily session of the MIBEL, considering as input variables extensive hourly time series records of recent prices, power demands and power generations in the previous day, forecasts of demand, wind power generation and weather for the day-ahead, and chronological variables. ISMPF models include the input variables of DSMPF models as well as the daily session prices and prices of preceding intraday sessions. The best ISMPF models achieved lower MAPEs for most of the intraday sessions compared to the error of the best DSMPF model; furthermore, such DSMPF error was very close to the lowest limit error for the daily session. The best ISMPF models can be useful for MIBEL agents of the electricity intraday market and the electric energy industry. |
topic |
short-term forecasting electricity market prices Iberian electricity market (MIBEL) daily session prices intraday session prices |
url |
http://www.mdpi.com/1996-1073/9/9/721 |
work_keys_str_mv |
AT claudiomonteiro shorttermpriceforecastingmodelsbasedonartificialneuralnetworksforintradaysessionsintheiberianelectricitymarket AT ignaciojramirezrosado shorttermpriceforecastingmodelsbasedonartificialneuralnetworksforintradaysessionsintheiberianelectricitymarket AT lalfredofernandezjimenez shorttermpriceforecastingmodelsbasedonartificialneuralnetworksforintradaysessionsintheiberianelectricitymarket AT pedroconde shorttermpriceforecastingmodelsbasedonartificialneuralnetworksforintradaysessionsintheiberianelectricitymarket |
_version_ |
1725729562981040128 |