Day-Ahead Electricity Price Forecasting Using an Adaptive Combination Method in the Japanese Spot Market

Manaka Omura, Yu Fujimoto, Hideo Ishii, Yasuhiro Hayashi, Toshiyuki Sawa, Hiroto Sasaki, Naoto Fukuyama

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

Forecasting the electricity spot market price (i.e., the price of electricity traded for the next day) is important in planning efficient power generation and demand schedules. This research aims to discuss the following two points in the forecasting task: an explicit scheme for estimating high and low-price situations and an effective weighted integration of given multiple forecast products depending on the estimated situations. The authors propose an adaptive method of combining market price forecasts (ADAPTIVE) to utilize several types of given forecast results efficiently and improve forecasting accuracy. The method aims to capture the features of the component models' results considering high- and low-prices situations. To evaluate the effectiveness of the proposed ADAPTIVE, numerical experiments were conducted on electricity spot market prices in the Japan Electric Power Exchange. The results indicate that the proposed method is a promising way to improve the accuracy of the conventional method of combining forecasts.

Original languageEnglish
Title of host publication2020 17th International Conference on the European Energy Market, EEM 2020
PublisherIEEE Computer Society
ISBN (Electronic)9781728169194
DOIs
Publication statusPublished - 2020 Sep
Event17th International Conference on the European Energy Market, EEM 2020 - Stockholm, Sweden
Duration: 2020 Sep 162020 Sep 18

Publication series

NameInternational Conference on the European Energy Market, EEM
Volume2020-September
ISSN (Print)2165-4077
ISSN (Electronic)2165-4093

Conference

Conference17th International Conference on the European Energy Market, EEM 2020
Country/TerritorySweden
CityStockholm
Period20/9/1620/9/18

Keywords

  • Japan Electric Power Exchange
  • combining forecasts
  • eXtreme gradient boosting
  • electricity price forecast
  • spot market

ASJC Scopus subject areas

  • Marketing
  • Energy Engineering and Power Technology
  • Fuel Technology

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