We study the forward looking information that is available to all participants in the UK power market and measure its predictive value with respect to forecasting the occurrence of electricity price spikes. We focus on information that measures the extent to which the capacity of the UK...

We show that incorporating the intra-day and inter-zone relationships of electricity prices in the Pennsylvania--New Jersey--Maryland (PJM) Interconnection improves the accuracy of short- and medium-term forecasts of average daily prices for a major PJM market hub -- the Dominion Hub in...

We show that incorporating the intra-day relationships of electricity prices improves the accuracy of forecasts of daily electricity spot prices. We use half-hourly data from the UK power market to model the spot prices directly (via ARX and Vector ARX models) and indirectly (via factor models)....

When building stochastic models for electricity spot prices the problem of uttermost importance is the estimation and consequent forecasting of a component to deal with trends and seasonality in the data. While the short-term seasonal components (daily, weekly) are more regular and less...

We present the results of an extensive study on modeling and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a vast array of models including linear regressions, monthly dummies, sinusoidal decompositions and wavelet smoothers. We find that in terms...

When building stochastic models for electricity spot prices the problem of uttermost importance is the estimation and consequent forecasting of a component to deal with trends and seasonality in the data. While the short-term seasonal components (daily, weekly) are more regular and less...

In this paper we investigate whether considering the fine structure of half-hourly electricity prices, the market closing prices of fundamentals (natural gas, coal and CO2) and the system-wide demand can lead to significantly more accurate short- and mid-term forecasts of APX UK baseload prices....