Analysis and models of electricity prices in the Italian ancillary services market

Author

Moscetti, Federico ; Paoletti, Simone ; Vicino, Antonio

Author_Institution

Dipt. di Ing. dell´Inf. e Sci. Matematiche, Univ. di Siena, Siena, Italy

fYear

2014

fDate

12-15 Oct. 2014

Firstpage

1

Lastpage

6

Abstract

In this paper a time series approach is proposed for the analysis of electricity prices in the Italian ancillary services market. The objective is to forecast energy prices for lead times ranging from one hour to one day. Both black-box and grey-box multivariate models are adopted for the analysis of the conditional mean values of the price series. Real data regarding a geographical zone of the Italian electricity system are processed, showing that the adopted models allow for a significant reduction of the prediction error variance with respect to that of standard naive predictors.

Keywords

economic forecasting; grey systems; power markets; pricing; time series; Italian ancillary services market; Italian electricity system; black-box models; conditional mean values; electricity prices; energy price forecasting; geographical zone; grey-box multivariate models; prediction error variance reduction; standard naive predictors; time series approach; Correlation; Data models; Electricity; Estimation; Predictive models; Smoothing methods; Time series analysis; Ancillary services market; energy price forecasting; time series analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Innovative Smart Grid Technologies Conference Europe (ISGT-Europe), 2014 IEEE PES

Conference_Location

Istanbul

Type

conf

DOI

10.1109/ISGTEurope.2014.7028755

Filename

7028755