Title :
Price of electric futures forecasting based on error correction model
Author :
Zhang, Long ; Hu, Binqi ; Cheng, Tao ; Zhou, Yong ; Zhang, Yongxi ; Lai, Shaoyuan
Author_Institution :
Hunan Electr. Power Dispatch & Commun. Bur., Changsha, China
Abstract :
This paper analyses the forecasting price of electric futures at PJM power market. An error correction model is proposed to forecast price of electric futures. The model contains not only the lagged variables such as: futures prices and spot prices but also includes the long relationship between the futures prices and spot prices. Results show that the spot price is an important influence factor in the forecast of price of electric futures. Furthermore, the spot prices and futures prices are cointegrated, namely in the short term the spot prices and futures prices possibly deviate from the equilibrium condition, but in the long run they keep up the equilibrium relation. Finally, the proposed model is successfully applied to the price of electric futures forecast of the PJM power market.
Keywords :
error correction; forecasting theory; power markets; power system economics; pricing; PJM power market; electric futures price forecasting; error correction model; lagged variables; spot prices; Economic forecasting; Educational institutions; Error correction; Fluctuations; Load forecasting; Neural networks; Power engineering and energy; Power markets; Predictive models; Technology forecasting; PJM power market; error correction model; price of electric futures; spot prices;
Conference_Titel :
Industrial Engineering and Engineering Management, 2009. IEEM 2009. IEEE International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4244-4869-2
Electronic_ISBN :
978-1-4244-4870-8
DOI :
10.1109/IEEM.2009.5373141
