Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO

被引：77
|
作者：
Uniejewski, Bartosz [1 ,2 ]
Marcjasz, Grzegorz [1 ,2 ]
Weron, Rafai [1 ]
机构：
[1] Wroclaw Univ Sci & Technol, Fac Comp Sci & Management, Dept Operat Res, Wroclaw, Poland
[2] Wroclaw Univ Sci & Technol, Fac Pure & Appl Math, Wroclaw, Poland
来源：
INTERNATIONAL JOURNAL OF FORECASTING | 2019年 / 35卷 / 04期
关键词：
Intraday electricity market; Variable selection; Price forecasting; LASSO; ARX model; Diebold-Mariano test; Trading strategy; IMPACT; FUNDAMENTALS; MODELS;
D O I：
10.1016/j.ijforecast.2019.02.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We use a unique set of prices from the German EPEX market and take a closer look at the fine structure of intraday markets for electricity, with their continuous trading for individual load periods up to 30 min before delivery. We apply the least absolute shrinkage and selection operator (LASSO) in order to gain statistically sound insights on variable selection and provide recommendations for very short-term electricity price forecasting. (C) 2019 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：1533 / 1547
页数：15
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