Electricity | Article
Probabilistic forecasting of hourly electricity prices in the medium-term using spatial interpolation techniques
09 March 2016
BY: BELLO Antonio, Javier Reneses, MUÑOZ Antonio, DELGADILLO Andres
International journal of forecasting, 2016, Vol. 32, No. 3, pp. 966–980
In the context of competitive electricity markets, medium-term price forecasting is essential for market stakeholders. However, very little research has been conducted in this field, in contrast to short-term price forecasting. Previous studies of electricity price forecasting have tackled the problem of medium-term prediction using fundamental market equilibrium models with daily data, or at most, averages of groups of hours. Similarly, the limitations of point forecasts are recognized widely, but the literature dealing with probabilistic forecasts is sparse. In this study, a novel methodology for the medium-term hourly forecasting of electricity prices is proposed. This methodology is unique in the sense that it also attempts to perform punctual and probabilistic hourly predictions simultaneously. The approach consists of a nested combination of several modeling stages. The first stage consists of generating multiple scenarios of uncertain variables. In a second stage, a market equilibrium model that incorporates Monte Carlo simulation and a new definition of load levels is executed for a reduced combination of the scenarios generated. The application of spatial interpolation techniques allows us to estimate numerous feasible realizations of electricity prices from only several hundred executions of the fundamental market equilibrium model without any loss of accuracy. The efficiency of the proposed methodology is verified in a real-size electricity system that is characterized by complex price dynamics: the Spanish market.
logo cadmus Read it on Cadmus


The EU ETS with companion policies is more robust than relying solely on either regulatory or carbon-pricing interventions. Policies should be developed to account for the disparate impacts of the [...]
Technical Report
Customers are expected to play a fundamental role in the transition to a decarbonised and digitalised energy system. However, experience so far suggests that customer engagement in energy markets cannot [...]
Technical Report
This deliverable, which is part of the Horizon 2020 OneNet project, outlines the alignment activities carried out in OneNet Task 3.4, focusing on integrating the proposed electricity market concepts with [...]
Technical Report
Flexibility involves the adjustment of energy consumption or generation schedules to benefit the grid, for instance, providing services such as balancing, congestion management, and voltage control. Flexibility can be offered [...]
Technical Report
Air Traffic Management (ATM) is a set of services which every State must provide for the safe and efficient operation of air traffic. Today, it is almost entirely financed by [...]
Rail has a key role to play in making EU transport more efficient and sustainable, in line with the goals of the EU’s sustainable and smart mobility strategy. Increasing passenger [...]

Join our community

To meet, discuss and learn in the channel that suits you best.