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Una nuova tecnica di previsione del prezzo spot del mercato del giorno prima basata sull’analisi della volatilità.

pubblicazioni - Articolo

Una nuova tecnica di previsione del prezzo spot del mercato del giorno prima basata sull’analisi della volatilità.

Electricity price forecasting is extremely important for all market players, in particular for generating companies: in the short term they must set up bids for the spot market, in the medium term they have to define contract policies, in the long term they must define their expansion plans. This paper presents a day- ahead spot market price forecasting technique. This technique has been developed under probabilistic assumptions and takes into account the results obtained from a volatility study carried out on three deregulated markets (Spain, California and PJM). Based on an original definition and calculation of price volatility fit for the peculiarities of the “electric energy” commodity, this technique can be used to perform a risk analysis by estimating the probability of a future price falling within a predefined range, taking into account previous volatilità values. Some results of this price forecasting technique are also presented and discussed.

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