Probabilistic Forecasting of Imbalance Prices in the Belgian Context

@article{Dumas2019ProbabilisticFO,
  title={Probabilistic Forecasting of Imbalance Prices in the Belgian Context},
  author={Jonathan Dumas and Ioannis Boukas and Miguel Manuel de Villena and S{\'e}bastien Mathieu and Bertrand Corn{\'e}lusse},
  journal={2019 16th International Conference on the European Energy Market (EEM)},
  year={2019},
  pages={1-7}
}
Forecasting imbalance prices is essential for strategic participation in the short-term energy markets. A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case. The first step consists in computing the net regulation volume state transition probabilities. It is modeled as a matrix computed using historical data. This matrix is then used to infer the imbalance prices, since the net regulation volume can be related to the level of reserves activated and… 

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