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on Forecasting |
| By: | Andersson, Jonas (Dept. of Business and Management Science, Norwegian School of Economics); Sheybanivaziri, Samaneh (Dept. of Business and Management Science, Norwegian School of Economics) |
| Abstract: | In this paper, we study the performance of prediction intervals in situations applicable to electricity markets. In order to do so we first introduce an extension of the logistic mixture autoregressive with exogenous variables (LMARX) model, see (Wong, Li, 2001), where we allow for multiplicative seasonality and lagged mixture probabilities. The reason for using this model is the prevalence of spikes in electricity prices. This feature creates a quickly varying, and sometimes bimodal, forecast distribution. The model is fitted to the price data from the electricity market forecasting competition GEFCom2014. Additionally, we compare the outcomes of our presumably more accurate representation of reality, the LMARX model, with other widely utilized approaches that have been employed in the literature. |
| Keywords: | Prediction intervals; probabilistic forecasts; electricity prices; spikes; mixture models |
| JEL: | C10 C50 C53 |
| Date: | 2023–07–11 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:nhhfms:2023_011&r=for |
| By: | Raffaele Sgarlato |
| Abstract: | The availability of historical data related to electricity day-ahead prices and to the underlying price formation process is limited. In addition, the electricity market in Europe is facing a rapid transformation, which limits the representativeness of older observations for predictive purposes. On the other hand, machine learning methods that gained traction also in the domain of electricity price forecasting typically require large amounts of data. This study analyses the effectiveness of encoding well-established domain knowledge to mitigate the need for large training datasets. The domain knowledge is incorporated by imposing a structure on the price forecasting problem; the resulting accuracy gains are quantified in an experiment. Compared to an "unstructured" purely statistical model, it is shown that introducing intermediate quantity forecasts of load, renewable infeed, and cross-border exchange, paired with the estimation of supply curves, can result in a NRMSE reduction by 0.1 during daytime hours. The statistically most significant improvements are achieved in the first day of the forecasting horizon when a purely statistical model is combined with structured models. Finally, results are evaluated and interpreted with regard to the dynamic market conditions observed in Europe during the experiment period (from the 1st October 2022 to the 30th April 2023), highlighting the adaptive nature of models that are trained on shorter timescales. |
| Date: | 2023–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2306.14186&r=for |
| By: | David Noel |
| Abstract: | This paper will analyze and implement a time series dynamic neural network to predict daily closing stock prices. Neural networks possess unsurpassed abilities in identifying underlying patterns in chaotic, non-linear, and seemingly random data, thus providing a mechanism to predict stock price movements much more precisely than many current techniques. Contemporary methods for stock analysis, including fundamental, technical, and regression techniques, are conversed and paralleled with the performance of neural networks. Also, the Efficient Market Hypothesis (EMH) is presented and contrasted with Chaos theory using neural networks. This paper will refute the EMH and support Chaos theory. Finally, recommendations for using neural networks in stock price prediction will be presented. |
| Date: | 2023–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2306.12969&r=for |