Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Deregulated day-ahead electricity markets in Southeast Europe: Price forecasting and comparative structural analysis

Antanina Hryshchuk
Stefan Lessmann



Abstract
Many Southeast European countries are currently undergoing a process of liberalization of electric power markets. The paper analyses day-ahead price dynamics on some of these new markets and in Germany as a benchmark of a completely decentralized Western European market. To that end, several price forecasting methods including autoregressive approaches, multiple linear regression, and neural networks are considered. These methods are tested on hourly day-ahead price data during four two-week periods corresponding to different seasons and varying levels of volatility in all selected markets. The most influential fundamental factors are determined and performance of forecasting techniques is analysed with respect to the age of the market, its degree of liberalization, and the level of volatility. A comparison of Southeast European electricity markets of different age with the older German market is made and clusters of similar Southeast European markets are identified.


Keywords:
ARIMA models, energy forecasting, time series models, neural networks

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