Electricity price forecasting for Nord Pool data

Abstract

Due to worldwide liberalization of power markets, electricity can be purchased and sold as any other commodity. The market spot price of electricity has features such as high volatility, seasonality and spikes. In order to minimize risks, maximize profits and make future plans, it is important for participants of electricity market to forecast future prices. The vast number of various methods is applied for solving this problem. However, the accuracy of forecasts is not sufficient, different approaches work differently with different countries (markets). In this paper we describe our experiments with electricity spot price data of Lithuania’s price zone in Nord Pool power market. Short-term forecasts are made by using Average, Seasonal Naïve and Exponential smoothing methods, and results are reported.