Price of Electric Futures Forecasting Based on Error Correction Model

被引：1
|
作者：
Zhang, Long [1 ]
Hu, Binqi [1 ]
Cheng, Tao [1 ]
Zhou, Yong [1 ]
Zhang, Yongxi [2 ]
Lai, Shaoyuan [2 ]
机构：
[1] Hunan Elect Power Dispatch & Commun Bur, Changsha, Hunan, Peoples R China
[2] Changsha Univ Sci & Technol, Coll Elect & Informat Engn, Changsha, Hunan, Peoples R China
来源：
2009 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS 1-4 | 2009年
基金：
中国国家自然科学基金;
关键词：
price of electric futures; spot prices; error correction model; PJM power market; TIME-SERIES; COINTEGRATION;
D O I：
10.1109/IEEM.2009.5373141
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper analyses the forecasting price of electric futures at PJM power market. An error correction model is proposed to forecast price of electric futures. The model contains not only the lagged variables such as: futures prices and spot prices but also includes the long relationship between the futures prices and spot prices. Results show that the spot price is an important influence factor in the forecast of price of electric futures. Furthermore, the spot prices and futures prices are cointegrated, namely in the short term the spot prices and futures prices possibly deviate from the equilibrium condition, but in the long run they keep up the equilibrium relation. Finally, the proposed model is successfully applied to the price of electric futures forecast of the PJM power market.
引用
收藏
页码：1699 / +
页数：2
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