Author
Poyrazoğlu, Göktürk
Publication Date
2019
Publication Place
-
IEEE
Subject
Random walk, Electricity price volatility, Energy economics, Day-ahead market
Type
Document
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
978-1-5386-8218-0
Record ID
b41349ae-69dc-4931-b7db-87cfe4078cd5
Library Location
Electrical & Electronics Engineering
Date
2019
Sample Text
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
