Modeling and forecasting electricity prices with input/output hidden Markov models

@article{Gonzalez2005ModelingAF,
  title={Modeling and forecasting electricity prices with input/output hidden Markov models},
  author={A. M. Gonzalez and A.M.S. Roque and Javier Garc{\'i}a-Gonz{\'a}lez},
  journal={IEEE Transactions on Power Systems},
  year={2005},
  volume={20},
  pages={13-24}
}
In competitive electricity markets, in addition to the uncertainty of exogenous variables such as energy demand, water inflows, and availability of generation units and fuel costs, participants are faced with the uncertainty of their competitors' behavior. The analysis of electricity price time series reflects a switching nature, related to discrete changes in competitors' strategies, which can be represented by a set of dynamic models sequenced together by a Markov chain. An input-output… CONTINUE READING

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