Improving Electricity Price Forecasting Trough Data Segmentation Based on Artificial Immune Systems

Abstract

The price evolution in electricity market with large share of renewables often exhibits a deep volatility, triggered by external factors such as wind and water availability, load level and also by business strategies of market agents. Consequently, in many real applications, the performance of electricity price is not appropriate. The goal of this article is to analyze the available market data and characterize circumstances that affect the evolution of prices, in order to allow the identification of states that promote price instability and to confirm that class segmentation allows increasing forecast performance. A regression technique (based on Artificial Neural Networks) was applied first to the whole set and then to each class individually. Performances results showed a clear advantage (above 20%) of the second approach when compared to the first one.