Hybrid Modelling Approaches for Forecasting Energy Spot Prices in EPEC market

• URL: http://arxiv.org/abs/2010.08400v1
• Date: Wed, 14 Oct 2020 12:45:53 GMT
• Title: Hybrid Modelling Approaches for Forecasting Energy Spot Prices in EPEC market
• Authors: Tahir Miriyev, Alessandro Contu, Kevin Schafers, Ion Gabriel Ion
• Abstract summary: We consider several hybrid modelling approaches for forecasting energy spot prices in EPEC market. Data was given in terms of electricity prices for 2013-2014 years, and test data as a year of 2015.
• Score: 62.997667081978825
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this work we considered several hybrid modelling approaches for forecasting energy spot prices in EPEC market. Hybridization is performed through combining a Naive model, Fourier analysis, ARMA and GARCH models, a mean-reversion and jump-diffusion model, and Recurrent Neural Networks (RNN). Training data was given in terms of electricity prices for 2013-2014 years, and test data as a year of 2015.

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