Modeling of electricity load for forward contract pricing

The majority of the consumed electricity in Europe is currently traded as forward contracts and therefore reliable price forecasting is crucial for market players. Several pricing methods based on fundamental models are available. They require a load model, which captures the characteristics of the...

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Bibliographic Details
Published in2013 IEEE Power & Energy Society General Meeting pp. 1 - 5
Main Authors Sotiropoulos, Ektor, Hildmann, Marcus, Yang He, Andersson, Goran
Format Conference Proceeding
LanguageEnglish
Published IEEE 2013
Subjects
Biological system modeling
Economics
Electricity
Load modeling
Predictive models
Production
Temperature
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Summary:The majority of the consumed electricity in Europe is currently traded as forward contracts and therefore reliable price forecasting is crucial for market players. Several pricing methods based on fundamental models are available. They require a load model, which captures the characteristics of the electricity consumption. We propose an hourly load model for fundamental modeling of forward contract pricing and the formulation of the Hourly Price Forward Curve. This model captures deterministic patterns such as yearly and weekly seasonality, intra-day patterns including holidays, temperature effects and economic trends. These pattern and trends can be estimated with computational efficiency via Maximum Likelihood Estimator.
ISSN:1932-5517
DOI:10.1109/PESMG.2013.6672834