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Spot price forecasting for best trading strategy decision support in the Iberian electricity market

dc.contributor.authorMagalhães, Bianca G.
dc.contributor.authorBento, Pedro M. R.
dc.contributor.authorPombo, José
dc.contributor.authorCalado, M. do Rosário
dc.contributor.authorMariano, Sílvio J. P S.
dc.date.accessioned2024-01-09T16:24:49Z
dc.date.available2024-01-09T16:24:49Z
dc.date.issued2023-08-15
dc.description.abstractThe increasing volatility in electricity markets has reinforced the need for better trading strategies by both sellers and buyers to limit the exposure to losses. Accordingly, this paper proposes an electricity trading strategy based on a mid-term forecast of the average spot price and a risk premium analysis based on this forecast. This strategy can help traders (buyers and sellers) decide whether to trade in the futures market (of varying monthly maturity) or to wait and trade in the spot market. The forecast model consists of an Artificial Neural Network trained with the Long Short Term Memory architecture to predict the average monthly spot prices, using only market price-related data as input variables. Statistical analysis verified the correlation and dependency between variables. The forecast model was trained, validated and tested with price data from the Iberian Electricity Market (MIBEL), in particular the Spanish zone, between January 2015 and August 2019. The last year of this period was reserved for testing the performance of the proposed forecast model and trading strategy. For comparison purposes, the results of a forecasting model trained with the Extreme Learning Machine over the same period are also presented. In addition, the forecasted value of the average monthly spot price was used to perform a risk premium analysis. The results were promising, as they indicated benefits for traders adopting the proposed trading strategy, proving the potential of the forecast model and the risk premium analysis based on this forecast.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.eswa.2023.120059pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.6/13894
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectLong Short Term Memory - LSTMpt_PT
dc.subjectSpot prices forecastpt_PT
dc.subjectFutures pricespt_PT
dc.subjectElectricity marketpt_PT
dc.subjectRisk premiumpt_PT
dc.subjectTrading strategypt_PT
dc.titleSpot price forecasting for best trading strategy decision support in the Iberian electricity marketpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.startPage120059pt_PT
oaire.citation.titleExpert Systems with Applicationspt_PT
oaire.citation.volume224pt_PT
person.familyNameMagalhães
person.familyNameRocha Bento
person.familyNamePombo
person.familyNameCalado
person.familyNamePinto Simões Mariano
person.givenNameBianca
person.givenNamePedro Miguel
person.givenNameJose
person.givenNameM. do Rosário
person.givenNameSílvio José
person.identifier.ciencia-id7615-8E00-8084
person.identifier.ciencia-id9115-032B-370B
person.identifier.ciencia-id541F-E2B4-D66D
person.identifier.orcid0000-0003-3940-5577
person.identifier.orcid0000-0002-9102-7086
person.identifier.orcid0000-0002-8727-0067
person.identifier.orcid0000-0002-5206-487X
person.identifier.orcid0000-0002-6102-5872
person.identifier.ridN-6809-2013
person.identifier.ridN-6834-2013
person.identifier.scopus-author-id57196424786
person.identifier.scopus-author-id34977533800
person.identifier.scopus-author-id9338016700
person.identifier.scopus-author-id35612517200
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationb1577651-f116-495d-818e-40cc45609b55
relation.isAuthorOfPublication4a9912dc-95bc-4e6e-b012-a89eb6e2dfcb
relation.isAuthorOfPublicationcce2060a-24b8-441b-8896-cb4d0b3d3e83
relation.isAuthorOfPublication321aefdd-cd1f-4dd6-878e-c904b3ef89ab
relation.isAuthorOfPublicationcdbb9afc-4123-45ca-a946-89bafda7ab68
relation.isAuthorOfPublication.latestForDiscovery321aefdd-cd1f-4dd6-878e-c904b3ef89ab

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