Some Issues About Iberian Energy Prices

Computationl Scieneces and Applications, LNCS, Springer, LNCS, Springer,11621 (2019), 122-133


The work described in this article results from a problem proposed by the company EDP - Energy Solutions Operator, in the framework of ESGI $119{th}$, European Study Group with Industry, during July 2016. Markets for electricity have two characteristics: the energy is mainly not storable and volatile prices at exchanges are issues to take into consideration. These two features, between others, contribute significantly to the risk of a planning process.
The aim of the problem is the short term forecast of hourly energy prices.
In present work, ARIMA modeling is considered to obtain a predictive model. The results show that in the time series traditional framework the season of the year, month or winter/summer period revealed significant explanatory variables in the different estimated models.
The in-sample forecast is promising, conducting to adequate measures of performance.