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Literature and Model Review of Energy Market Price


P. Kyriakis

Semester Thesis, FS16 (10499)

Over the past two decades a new structure has been brought to the electricity markets. Traditionally, the price of electricity was regulated by governmental organizations and there was virtually no uncertainty about its future values. However, in deregulated markets electricity is traded like any other commodity and the price is determined by matching the demand to the provided supply. This brings unavoidably an uncertainty to the prices and this fact posses a challenge to the participants of the market, who want to have accurate forecasts for the future price. Motivated by the above need, we investigate in this semester project the modeling and forecasting of electricity prices. We start by giving a literature review of previous attempts that have been made in this eld. We identify and categorize several of the proposed models and by analyzing the properties of each category we choose an appropriate model for our goal. Finally, we further present characteristics of the the chosen model, which was a statistical one, and we show simulation results, which are used to validate the model.

Supervisors: Roy Smith, John Lygeros


Type of Publication:

(13)Semester/Bachelor Thesis

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% Autogenerated BibTeX entry
@PhdThesis { Xxx:2016:IFA_5449
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