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researchonelectricvolatilityforecastbasedonerror
Research on Electric volatility forecast based on Error Correction
Venena S. D. Durby Balalli and Shrina A. Khape1,*
1V. S. K. Murthy Balijepalli, and S. A. Khaparde are with the Department of Electrical Engineering, Indian Institute of Technology, Bombay, India, 400076
Received: October 29, 2012; Revised: December 2, 2012; Accepted: December 11, 2012
Abstract: The main methodologies used in electricity price forecasting have been reviewed in this paper. The following price-forecasting techniques have been covered: (i) stochastic time series, (ii) causal models, and (iii) arti?cial intelligence based models. The quantitative analysis of the work done by various authors has been presented based on (a) time horizon for prediction, (b) input variables, (c) output variables, (d) results, (e) data points used for analysis, (f) preprocessing technique employed, and (g) architecture of the model. The results have been presented in the form of tables for ease of comparison. Classi?cation of various price-in?uencing factors used by different researchers has been done and put for reference. Application of various models as applied to different electricity markets is also presented for consideration. Further, if the error is outside the permissible values then a correction factor is applied to the computed values and prediction is updated. The correction factor is determined using the golden search technique. The framework for the proposed approach has been tested on the Indian and Australian electricity market data to prove its efficacy.
Keywords: Electricity Price Forecasting, error Correction, golden Search, wholesale Electricity Market
1. INTRODUCTION
(注:正文字体为Arial,大小9.5磅)Electricity Market participants always argue for better forecasts to maximize their profits. Forecasting electricity prices is important yet complex task because price series is non-stationary and highly volatile with non-constant mean variance. There are mainly two groups of foreca
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