Energy price forecasting in the North Brazilian market using NN - ARIMA model and explanatory variables

Abstract

This paper proposes a new hybrid approach for short-term energy price prediction. This approach combines ARIMA and NN models in a cascaded structure and uses explanatory variables. A two step procedure is applied. In the first step, the explanatory variables are predicted. In the second one, the energy prices are forecasted by using the explanatory variables prediction. The prediction time horizon is 12 weeks-ahead and is applied to the North Brazilian submarket, which adopts a cost-based model with unique characteristics of price behavior. The proposed strategy is compared with traditional techniques like ARIMA and NN and the results show satisfactory accuracy and good ability to predict spikes. Thus, the model can be an attractive tool to mitigate risks in purchasing power.

DOI: 10.1109/CIES.2014.7011847

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Cite this paper

@article{Filho2014EnergyPF, title={Energy price forecasting in the North Brazilian market using NN - ARIMA model and explanatory variables}, author={Jose Carlos R. Filho and Carolina M. Affonso and Roberto C. L. Oliveira}, journal={2014 IEEE Symposium on Computational Intelligence for Engineering Solutions (CIES)}, year={2014}, pages={171-175} }