Price forecasting in the day-ahead Iberian electricity market using a conjectural variations Arima model

Price forecast is a matter of concern for all participants in electricity markets, from suppliers to consumers through policy makers, which are interested in the accurate forecast of day-ahead electricity prices either for better decisions making or for an improved evaluation of the effectiveness of market rules and structure. This paper describes a methodology to forecast market prices in an electricity market using an ARIMA model applied to the conjectural variations of the firms acting in an electricity market. This methodology is applied to the Iberian electricity market to forecast market prices in the 24 hours of a working day. The methodology was then compared with two other methodologies, one called naive and the other a direct forecast of market prices using also an ARIMA model. Results show that the conjectural variations price forecast performs better than the naive and that it performs slightly better than the direct price forecast.

Commercial agentes portfolio optimization in electricity markets

As it is well known, competitive electricity markets require new computing tools for power companies that operate in retail markets in order to enhance the management of its energy resources. During the last years there has been an increase of the renewable penetration into the micro-generation which begins to co-exist with the other existing power generation, giving rise to a new type of consumers. This paper develops a methodology to be applied to the management of the all the aggregators. The aggregator establishes bilateral contracts with its clients where the energy purchased and selling conditions are negotiated not only in terms of prices but also for other conditions that allow more flexibility in the way generation and consumption is addressed. The aggregator agent needs a tool to support the decision making in order to compose and select its customers' portfolio in an optimal way, for a given level of profitability and risk.