Modeling Prices in Electricity Spanish Markets Under Uncertainty

Abstract

The price of electricity in the Mibel is very changeable. This creates a lot of uncertainty and risk in market actors. Due to continuous changes in demand and marginal price adjustment, buyers and sellers cannot know in advance the evolution of prices. The study of this uncertainty motivates this work. Unlike other published work, this paper analyzes the perspective of the buyer and not the seller’s perspective, as is usual in the literature. The aim of this work is to develop predictive models of electric price to build tools to manage and reduce the risk associated with the volatility of the wholesale electricity market, and therefore provide better opportunities for small traders to participate in that market. On the other hand, these models are useful to large industrial consumers by enabling them to design strategies to optimize its production capacity in function to signals of electricity market price and can get better on their production costs. Therefore, this article is based on the prediction of energy prices instead of demand. This paper analyzes the model of energy prices to determine the key variables that define its final value. The proposed model has been applied to Mibel 2012. The results suggest the use of several models based on calendar and taking into account different combinations.