Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (The Wiley Finance Series)

195 Pages·2006·2.86 MB·English

by  Rafal Weron

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Modeling and Forecasting
Electricity Loads and Prices
A Statistical Approach
Rafal⁄ Weron
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Modeling and Forecasting
Electricity Loads and Prices
i
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ForothertitlesintheWileyFinanceSeries
pleaseseewww.wiley.com/finance
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Modeling and Forecasting
Electricity Loads and Prices
A Statistical Approach
Rafal⁄ Weron
iii
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Copyright(cid:2)C 2006Rafal⁄Weron
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LibraryofCongressCataloging-in-PublicationData
Weron,Rafal.
Modelingandforecastingelectricityloadsandprices:astatisticalapproach/RafalWeron.
p. cm.
Includesbibliographicalreferencesandindex.
ISBN-13:978-0-470-05753-7
ISBN-10:0-470-05753-X
1.Electricpowerconsumption—Forecasting—Statisticalmethods. 2.Electricutilities—Rates—
Forecasting—Statisticalmethods. 3.Electricpowerconsumption—Forecasting—Statistical
methods—Casestudies. 4.Electricutilities—Rates—Forecasting—Statisticalmethods—Casestudies.
I.Title.
HD9685.A2W472007
333.793(cid:3)213015195—dc22 2006028050
BritishLibraryCataloguinginPublicationData
AcataloguerecordforthisbookisavailablefromtheBritishLibrary
ISBN13 978-0-470-05753-7(HB)
ISBN10 0-470-05753-X(HB)
Typesetin10/12ptTimesbyTechBooks,NewDelhi,India
PrintedandboundinGreatBritainbyAntonyRoweLtd,Chippenham,Wiltshire
Thisbookisprintedonacid-freepaperresponsiblymanufacturedfromsustainableforestry
inwhichatleasttwotreesareplantedforeachoneusedforpaperproduction.
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Contents
Preface ix
Acknowledgments xiii
1 ComplexElectricityMarkets 1
1.1 Liberalization 1
1.2 TheMarketplace 3
1.2.1 PowerPoolsandPowerExchanges 3
1.2.2 NodalandZonalPricing 6
1.2.3 MarketStructure 7
1.2.4 TradedProducts 7
1.3 Europe 9
1.3.1 TheEnglandandWalesElectricityMarket 9
1.3.2 TheNordicMarket 11
1.3.3 PriceSettingatNordPool 11
1.3.4 ContinentalEurope 13
1.4 NorthAmerica 18
1.4.1 PJMInterconnection 19
1.4.2 CaliforniaandtheElectricityCrisis 20
1.4.3 AlbertaandOntario 21
1.5 AustraliaandNewZealand 22
1.6 Summary 23
1.7 FurtherReading 23
2 StylizedFactsofElectricityLoadsandPrices 25
2.1 Introduction 25
2.2 PriceSpikes 25
2.2.1 CaseStudy:TheJune1998CinergyPriceSpike 28
2.2.2 WhenSupplyMeetsDemand 29
2.2.3 WhatisCausingtheSpikes? 32
2.2.4 TheDefinition 32
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vi Contents
2.3 Seasonality 32
2.3.1 MeasuringSerialCorrelation 36
2.3.2 SpectralAnalysisandthePeriodogram 39
2.3.3 CaseStudy:SeasonalBehaviorofElectricity
PricesandLoads 40
2.4 SeasonalDecomposition 41
2.4.1 Differencing 42
2.4.2 MeanorMedianWeek 44
2.4.3 MovingAverageTechnique 44
2.4.4 AnnualSeasonalityandSpectralDecomposition 44
2.4.5 RollingVolatilityTechnique 45
2.4.6 CaseStudy:RollingVolatilityinPractice 46
2.4.7 WaveletDecomposition 47
2.4.8 CaseStudy:WaveletFilteringofNordPoolHourly
SystemPrices 49
2.5 MeanReversion 49
2.5.1 R/SAnalysis 50
2.5.2 DetrendedFluctuationAnalysis 52
2.5.3 PeriodogramRegression 53
2.5.4 AverageWaveletCoefficient 53
2.5.5 CaseStudy:Anti-persistenceofElectricityPrices 54
2.6 DistributionsofElectricityPrices 56
2.6.1 StableDistributions 56
2.6.2 HyperbolicDistributions 58
2.6.3 CaseStudy:DistributionofEEXSpotPrices 59
2.6.4 FurtherEmpiricalEvidenceandPossibleApplications 62
2.7 Summary 64
2.8 FurtherReading 64
3 ModelingandForecastingElectricityLoads 67
3.1 Introduction 67
3.2 FactorsAffectingLoadPatterns 69
3.2.1 CaseStudy:DealingwithMissingValuesandOutliers 69
3.2.2 TimeFactors 71
3.2.3 WeatherConditions 71
3.2.4 CaseStudy:CaliforniaWeathervsLoad 72
3.2.5 OtherFactors 74
3.3 OverviewofArtificialIntelligence-BasedMethods 75
3.4 StatisticalMethods 78
3.4.1 Similar-DayMethod 79
3.4.2 ExponentialSmoothing 79
3.4.3 RegressionMethods 81
3.4.4 AutoregressiveModel 82
3.4.5 AutoregressiveMovingAverageModel 83
3.4.6 ARMAModelIdentification 84
3.4.7 CaseStudy:ModelingDailyLoadsinCalifornia 86
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Contents vii
3.4.8 AutoregressiveIntegratedMovingAverageModel 95
3.4.9 TimeSeriesModelswithExogenousVariables 97
3.4.10 CaseStudy:ModelingDailyLoadsinCaliforniawithExogenous
Variables 98
3.5 Summary 100
3.6 FurtherReading 100
4 ModelingandForecastingElectricityPrices 101
4.1 Introduction 101
4.2 OverviewofModelingApproaches 102
4.3 StatisticalMethodsandPriceForecasting 106
4.3.1 ExogenousFactors 106
4.3.2 SpikePreprocessing 107
4.3.3 HowtoAssesstheQualityofPriceForecasts 107
4.3.4 ARMA-typeModels 109
4.3.5 TimeSeriesModelswithExogenousVariables 111
4.3.6 AutoregressiveGARCHModels 113
4.3.7 CaseStudy:ForecastingHourlyCalPXSpotPriceswith
LinearModels 114
4.3.8 CaseStudy:IsSpikePreprocessingAdvantageous? 125
4.3.9 Regime-SwitchingModels 127
4.3.10 CalibrationofRegime-SwitchingModels 132
4.3.11 CaseStudy:ForecastingHourlyCalPXSpotPriceswith
Regime-SwitchingModels 132
4.3.12 IntervalForecasts 136
4.4 QuantitativeModelsandDerivativesValuation 136
4.4.1 Jump-DiffusionModels 137
4.4.2 CalibrationofJump-DiffusionModels 139
4.4.3 CaseStudy:AMean-RevertingJump-DiffusionModelforNord
PoolSpotPrices 140
4.4.4 HybridModels 143
4.4.5 CaseStudy:Regime-SwitchingModelsforNordPoolSpotPrices 144
4.4.6 HedgingandtheUseofDerivatives 147
4.4.7 DerivativesPricingandtheMarketPriceofRisk 148
4.4.8 CaseStudy:Asian-StyleElectricityOptions 150
4.5 Summary 153
4.6 FurtherReading 154
Bibliography 157
SubjectIndex 171