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Prediction of French day-ahead electricity prices: Comparison between a deterministic and a stochastic approach
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis deals with the new flow-based computation method used in the Central Western Europe Area. This is done on the financial side. The main aim is to produce some robust methods for predicting. Two approaches are used: the first one is based on a deterministic and algorithmic method involving the study of the interaction between the fundamentals and the prices. The other one is a more statistical approach based on a time series modeling of the French flow-based prices. Both approaches have advantages and disadvantages which will be discussed in the following. The work is mainly based on global simulated data provided by CASC in their implementation phase of the flow-base in Western Europe.

Abstract [sv]

Denna avhandling behandlar den nya flödesbaserade beräkningsmetoden som används i Centrala Västeuropa på ekonomisidan. Målet är att producera tillförlitliga metoder för prognostisering. Två tillvägagångssätt kan användas: den första är baserad på en deterministisk och algoritmisk metod som inbegriper studier av interaktionen mellan fundamenta och priserna. Den andra är en mer statistisk metod som bygger på en tidsseriemodellering av de franska flödesbaserade priserna. Båda tillvägagångssätten har fördelar och nackdelar som kommer som diskuteras i det följande. Arbetet är främst

baserade på globala simulerade data från CASC i genomförandefasen av

flödesbasen i Västeuropa.

Place, publisher, year, edition, pages
TRITA-MAT-E, 2015:10
Keyword [en]
Electricity market, Market coupling, CWE area, Flow Base, modeling
National Category
Mathematical Analysis
URN: urn:nbn:se:kth:diva-163721OAI: diva2:802507
Subject / course
Mathematical Statistics
Educational program
Master of Science in Engineering -Engineering Physics
Available from: 2015-04-13 Created: 2015-04-11 Last updated: 2015-05-18Bibliographically approved

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