Recurrence plots of electricity price series and the prediction of electricity prices using artificial neural networks

Kód výsledku v IS VaVaI

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Nalezeny alternativní kódy

RIV/68407700:21230/14:00226140

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Recurrence plots of electricity price series and the prediction of electricity prices using artificial neural networks

Popis výsledku v původním jazyce

In this paper, we focus on analyzing the electricity prices using recurrence plots and predicting it using radial basis artificial neural networks. Due to these features, electricity behavior seems rather chaotic. At first we will estimate the time delayand the embedding dimension, which is needed for recurrence plots. First part of this paper is to answer the question if the electricity price dynamics is generated by non-linear deterministic dynamic process. Recurrence Plots are graphical tools basedon Phase Space Reconstruction. Recurrence Quantification Analysis (RQA) is a statistical quantification of RPs. RP and RQA are good at working with non-stationarity and noisy data, in detecting changes in data behavior, in particular in detecting breaks,like a phase transition and in informing about other dynamic properties of a time series. Later we focus on building model using artificial neural networks to predict future prices and analyze prediction horizon.

Název v anglickém jazyce

Recurrence plots of electricity price series and the prediction of electricity prices using artificial neural networks

Popis výsledku anglicky

In this paper, we focus on analyzing the electricity prices using recurrence plots and predicting it using radial basis artificial neural networks. Due to these features, electricity behavior seems rather chaotic. At first we will estimate the time delayand the embedding dimension, which is needed for recurrence plots. First part of this paper is to answer the question if the electricity price dynamics is generated by non-linear deterministic dynamic process. Recurrence Plots are graphical tools basedon Phase Space Reconstruction. Recurrence Quantification Analysis (RQA) is a statistical quantification of RPs. RP and RQA are good at working with non-stationarity and noisy data, in detecting changes in data behavior, in particular in detecting breaks,like a phase transition and in informing about other dynamic properties of a time series. Later we focus on building model using artificial neural networks to predict future prices and analyze prediction horizon.

Druh

D - Stať ve sborníku

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

POSTER 2014 - 18th International Student Conference on Electrical Engineering

ISBN

978-80-01-05499-4

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

1-8

Název nakladatele

Czech Technical University

Místo vydání

Prague

Místo konání akce

Praha

Datum konání akce

15. 5. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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