Forecasting Balancing Market Prices Using Hidden Markov Models

被引：0

作者：

Dimoulkas, Ilias ^{[1
]}

Amelin, Mikael ^{[1
]}

Hesamzadeh, Mohammad Reza ^{[2
]}

机构：

[1] KTH Royal Inst Technol, Elect Power & Energy Syst, Sch Elect Engn, Stockholm, Sweden

[2] KTH Royal Inst Technol, Elect Market Res Grp, Elect Power & Energy Syst, Stockholm, Sweden

来源：

2016 13TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2016年

关键词：

D O I：

暂无

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

This paper presents a Hidden Markov Model (HMM) based method to predict the prices and trading volumes in the electricity balancing markets. The HMM are quite powerful in modelling stochastic processes where the underlying dynamics are not apparent. The proposed method provides both one hour and 12-36 hour ahead forecasts. The first is mostly useful to wind/solar producers in order to compensate their production imbalances while the second is important when submitting the offers to the day ahead markets. The results are compared to the ones from Markov-autoregressive model.

引用

页数：5

共 50 条

[31] Markov models — hidden Markov models
Jasleen K. Grewal
Martin Krzywinski
Naomi Altman
Nature Methods, 2019, 16 : 795 - 796
[32] Forecasting FAANG Stocks using Hidden Markov Model
Jadhav, Aishwary
Kale, Jui
Rane, Chinmayi
Datta, Ankit
Deshpande, Amol
Ambawade, Dayanand D.
2021 6TH INTERNATIONAL CONFERENCE FOR CONVERGENCE IN TECHNOLOGY (I2CT), 2021,
[33] HIDDEN MARKOV MODELS WITH THRESHOLD EFFECTS AND THEIR APPLICATIONS TO OIL PRICE FORECASTING
Zhu, Dong-Mei
Ching, Wai-Ki
Elliott, Robert J.
Siu, Tak-Kuen
Zhang, Lianmin
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2017, 13 (02) : 757 - 773
[34] SIGNAL DENOISING WITH HIDDEN MARKOV MODELS USING HIDDEN MARKOV TREES AS OBSERVATION DENSITIES
Milone, Diego H.
Di Persia, Leandro E.
Tomassi, Diego R.
2008 IEEE WORKSHOP ON MACHINE LEARNING FOR SIGNAL PROCESSING, 2008, : 374 - 379
[35] Stock Market Prediction Using Hidden Markov Model
Somani, Poonam
Talele, Shreyas
Sawant, Suraj
2014 IEEE 7TH JOINT INTERNATIONAL INFORMATION TECHNOLOGY AND ARTIFICIAL INTELLIGENCE CONFERENCE (ITAIC), 2014, : 89 - 92
[36] Videotext OCR using hidden Markov models
Natarajan, P
Elmieh, B
Schwartz, R
Makhoul, J
SIXTH INTERNATIONAL CONFERENCE ON DOCUMENT ANALYSIS AND RECOGNITION, PROCEEDINGS, 2001, : 947 - 951
[37] Classic cryptanalysis using hidden Markov models
Vobbilisetty, Rohit
Di Troia, Fabio
Low, Richard M.
Visaggio, Corrado Aaron
Stamp, Mark
CRYPTOLOGIA, 2017, 41 (01) : 1 - 28
[38] Classification of chirps using Hidden Markov Models
Balachandran, Nikhil
Creusere, Charles
2006 FORTIETH ASILOMAR CONFERENCE ON SIGNALS, SYSTEMS AND COMPUTERS, VOLS 1-5, 2006, : 545 - +
[39] Cough Detection Using Hidden Markov Models
Teyhouee, Aydin
Osgood, Nathaniel D.
SOCIAL, CULTURAL, AND BEHAVIORAL MODELING, SBP-BRIMS 2019, 2019, 11549 : 266 - 276
[40] Speaker identification using hidden Markov models
Inman, M
Danforth, D
Hangai, S
Sato, K
ICSP '98: 1998 FOURTH INTERNATIONAL CONFERENCE ON SIGNAL PROCESSING, PROCEEDINGS, VOLS I AND II, 1998, : 609 - 612

← 1 2 3 4 5 →