Forecasting Electricity Prices Using Nonlinear Method

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39901887" target="_blank" >RIV/00216275:25410/16:39901887 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Forecasting Electricity Prices Using Nonlinear Method
Original language description
The goal of this paper is to analyze the electricity prices using chaos theory and to predict using nonlinear method. At first we estimated the time delay and the embedding dimension, which is needed for the Lyapunov exponent estimation and for the phase space reconstruction. Subsequently, we computed the largest Lyapunov exponent, which is one of the important indicators of chaos. The results indicated that chaotic behaviors obviously exist in electricity price series. If the system behaves chaotically, we are forced to accept limited predictions. Finally we computed predictions using a radial basis function to fit global nonlinear functions to the data. In this paper we analyze electricity price series of the biggest European energy markets EEX (Central European Energy Exchange).
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Managing and Modelling of Financial Risks : 8th International Scientific Conference
ISBN
978-80-248-3994-3
ISSN
2464-6970
e-ISSN
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Number of pages
7
Pages from-to
467-473
Publisher name
Vysoká škola báňská-Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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