Forecasting the Mean and the Variance of Electricity Prices in Deregulated Markets

@article{Ruibal2008ForecastingTM,
  title={Forecasting the Mean and the Variance of Electricity Prices in Deregulated Markets},
  author={C. M. Ruibal and Mainak Mazumdar},
  journal={IEEE Transactions on Power Systems},
  year={2008},
  volume={23},
  pages={25-32}
}
A fundamental bid-based stochastic model is presented to predict electricity hourly prices and average price in a given period. The model captures both the economic and physical aspects of the pricing process, considering two sources of uncertainty: availability of the units and demand. This work is based on three oligopoly models-Bertrand, Cournot, and supply function equilibrium (SFE) due to Rudkevich, Duckworth, and Rosen-and obtains closed form expressions for expected value and variance of… CONTINUE READING
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