Predicting electricity imbalance prices and volumes : capabilities and opportunities
Browell, Jethro and Gilbert, Ciaran (2022) Predicting electricity imbalance prices and volumes : capabilities and opportunities. Energies, 15 (10). 3645. ISSN 1996-1073 (https://doi.org/10.3390/en15103645)
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Abstract
Electricity imbalance pricing provides the ultimate incentive for generators and suppliers to contract with one another ahead of time and deliver against their obligations. As delivery time approaches, traders must judge whether to trade-out a position or settle it in the balancing market at the as-yet-unknown imbalance price. Forecasting the imbalance price (and related volumes) is therefore a necessity in short-term markets. However, this topic has received surprisingly little attention in the academic literature despite clear need by practitioners. Furthermore, the emergence of algorithmic trading demands automated forecasting and decision-making, with those best able to extract predictive information from available data gaining a competitive advantage. Here we present the case for developing imbalance price forecasting methods and provide motivating examples from the Great Britain’s balancing market, demonstrating forecast skill and value.
ORCID iDs
Browell, Jethro ORCID: https://orcid.org/0000-0002-5960-666X and Gilbert, Ciaran ORCID: https://orcid.org/0000-0001-6114-7880;-
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Item type: Article ID code: 80742 Dates: DateEvent16 May 2022Published16 May 2022Published Online12 May 2022Accepted21 April 2022SubmittedSubjects: Science > Mathematics > Probabilities. Mathematical statistics Department: Faculty of Engineering > Electronic and Electrical Engineering Depositing user: Pure Administrator Date deposited: 17 May 2022 09:02 Last modified: 11 Oct 2024 00:33 URI: https://strathprints.strath.ac.uk/id/eprint/80742