Price estimation by random walk mean reversion in day-ahead electricity market

Name: Price estimation by random walk mean reversion in day-ahead electricity market
Author: Poyrazoğlu, Göktürk

İsim	Price estimation by random walk mean reversion in day-ahead electricity market
Yazar	Poyrazoğlu, Göktürk
Basım Tarihi:	2019
Basım Yeri	- IEEE
Konu	Random walk, Electricity price volatility, Energy economics, Day-ahead market
Tür	Belge
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	978-1-5386-8218-0
Kayıt Numarası	b41349ae-69dc-4931-b7db-87cfe4078cd5
Lokasyon	Electrical & Electronics Engineering
Tarih	2019
Örnek Metin	The fluctuations in the Day-ahead electricity market (DAM) prices generally follow the periodic demand variance. However, the observations of historical data also reveal large jumps or spikes that might be defined as the randomness of the price formation. In this study, the Turkish DAM price is treated as a discrete signal to follow a methodology of utilizing the frequency-domain of the signal and a Fourier Transform analysis is employed for the separation of the random electricity price variations from the periodic ones. The volatility of the random electricity price variation is then used for the estimation of DAM price for a future day based on a random walk with a mean reversion method. The promising results are then compared with a multiple linear regression method from the literature to quantify the effectiveness of the proposed model for price forecasting for a Day-ahead electricity market.
DOI	10.1109/ISGTEurope.2019.8905565

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Price estimation by random walk mean reversion in day-ahead electricity market

Yazar Poyrazoğlu, Göktürk

Basım Tarihi 2019

Basım Yeri - IEEE

Konu Random walk, Electricity price volatility, Energy economics, Day-ahead market

Tür Belge

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 978-1-5386-8218-0

Kayıt Numarası b41349ae-69dc-4931-b7db-87cfe4078cd5

Lokasyon Electrical & Electronics Engineering

Tarih 2019

Örnek Metin The fluctuations in the Day-ahead electricity market (DAM) prices generally follow the periodic demand variance. However, the observations of historical data also reveal large jumps or spikes that might be defined as the randomness of the price formation. In this study, the Turkish DAM price is treated as a discrete signal to follow a methodology of utilizing the frequency-domain of the signal and a Fourier Transform analysis is employed for the separation of the random electricity price variations from the periodic ones. The volatility of the random electricity price variation is then used for the estimation of DAM price for a future day based on a random walk with a mean reversion method. The promising results are then compared with a multiple linear regression method from the literature to quantify the effectiveness of the proposed model for price forecasting for a Day-ahead electricity market.

DOI 10.1109/ISGTEurope.2019.8905565