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Hybrid Modelling Approaches for Forecasting Energy Spot Prices in EPEC market
- Publication Year :
- 2020
-
Abstract
- In this work we considered several hybrid modelling approaches for forecasting energy spot prices in EPEC market. Hybridization is performed through combining a Naive model, Fourier analysis, ARMA and GARCH models, a mean-reversion and jump-diffusion model, and Recurrent Neural Networks (RNN). Training data was given in terms of electricity prices for 2013-2014 years, and test data as a year of 2015.<br />Comment: European Consortium for Mathematics in Industry
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2010.08400
- Document Type :
- Working Paper