Panel modelling of electricity prices: Linear and nonlinear regression approaches

Author

Lucheroni, Carlo ; De Leone, Renato

Author_Institution

Sch. of Sci. & Technol., Univ. of Camerino, Camerino, Italy

fYear

2013

fDate

27-31 May 2013

Firstpage

1

Lastpage

8

Abstract

Hourly electricity prices are formed in daily auctions, but standard scalar price series modelling, linear and nonlinear, cannot take into account this auction information structure. Panel (i.e. vector) series modelling is more suitable than scalar modelling to include the auction information structure. In this paper, a set of linear and nonlinear vector regression models for electricity price econometrics, including Support Vector Regressions, will be discussed and tested on electricity market data.

Keywords

econometrics; power engineering computing; power markets; pricing; regression analysis; support vector machines; auction information structure; electricity market data; electricity price econometrics; electricity prices; linear regression approach; nonlinear regression approach; panel series modelling; scalar price series modelling; support vector regressions; Biological system modeling; Econometrics; Electricity; Hidden Markov models; Mathematical model; Standards; Vectors; Electricity market economics; Electricity prices modelling; Stochastic processes; Time series analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

European Energy Market (EEM), 2013 10th International Conference on the

Conference_Location

Stockholm

Type

conf

DOI

10.1109/EEM.2013.6607303

Filename

6607303