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Forecasting of Frequency Containment Reserve Prices Using Econometric and Artificial Intelligence Approaches

Kraft, Emil; Rominger, Julian; Mohiuddin, Vincent; Keles, Dogan

The forecasting of control reserve prices is essential in order to participate reasonably in the auctions. Having identified a lack of related literature, we therefore deploy approaches based on auto-regressive and exogenous factors coming from econometrics and artificial intelligence and set up a forecasting framework. We use SARIMA and SARIMAX models as well as neural networks and forecast based on a rolling one-step forecast with re-estimation of the models. It turns out, that the combination of auto-regressive and exogenous factors yields the best results compared to approaches solely considering auto-regressive or exogenous factors. Further, the artificial intelligence approach outperforms the econometric approach in terms of forecast quality, whereas for the further use of the generated models, the econometric approach has advantages in terms of interpretability.

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Verlagsausgabe §
DOI: 10.5445/IR/1000091736/pub
Veröffentlicht am 06.02.2020
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Angewandte Informatik und Formale Beschreibungsverfahren (AIFB)
Institut für Industriebetriebslehre und Industrielle Produktion (IIP)
Publikationstyp Proceedingsbeitrag
Publikationsjahr 2019
Sprache Englisch
Identifikator KITopen-ID: 1000091736
Erschienen in 11. Internationale Energiewirtschaftstagung an der TU Wien, Vienna, Austria, 13. - 15. Februar 2019
Schlagwörter Control reserve power, balancing services, Frequency Containment Reserve, forecasting, SARIMA, SARIMAX, Artificial Neural Network, Artificial Intelligence
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