Improving electricity market price scenarios by means of forecasting factor models

Publication TypeConference Paper
Year of Publication2009
AuthorsM.-Pilar Muñoz; Cristina Corchero; F.-Javier Heredia
Conference NameThe 57th Session of the International Statistical Institute
Conference Date16-22/08/2009
PublisherInternational Statistical Institute
Conference LocationDurban, South Africa
Type of WorkPlenary session
Key Wordsresearch; spot price forecasting; scenario generation; MIBEL
AbstractIn liberalized electricity markets, Generation Companies must build an hourly bid that is sent to the market operator. The price at which the energy will be paid is unknown during the bidding process and has to be forecast. In this work we apply forecasting factor models to this framework and study its suitability.
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