英文标题：
《Electricity Price Forecasting using Sale and Purchase Curves: The
  X-Model》
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作者：
Florian Ziel, Rick Steinert
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最新提交年份：
2016
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英文摘要：
  Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights of market structure models with extensive and modern econometric analysis. Instead of directly modeling the electricity price as it is usually done in time series or data mining approaches, we model and utilize its true source: the sale and purchase curves of the electricity exchange. We will refer to this new model as X-Model, as almost every deregulated electricity price is simply the result of the intersection of the electricity supply and demand curve at a certain auction. Therefore we show an approach to deal with a tremendous amount of auction data, using a subtle data processing technique as well as dimension reduction and lasso based estimation methods. We incorporate not only several known features, such as seasonal behavior or the impact of other processes like renewable energy, but also completely new elaborated stylized facts of the bidding structure. Our model is able to capture the non-linear behavior of the electricity price, which is especially useful for predicting huge price spikes. Using simulation methods we show how to derive prediction intervals for probabilistic forecasting. We describe and show the proposed methods for the day-ahead EPEX spot price of Germany and Austria.
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中文摘要：
本文旨在从全新的角度对数据进行建模和预测。这将是第一种能够将市场结构模型的见解与广泛的现代计量经济分析相结合的方法。我们没有像通常在时间序列或数据挖掘方法中那样直接建模电价，而是建模并利用其真实来源：电力交易的销售和购买曲线。我们将把这个新模型称为X模型，因为几乎每一个解除管制的电价都只是某一次拍卖中电力供需曲线相交的结果。因此，我们展示了一种处理大量拍卖数据的方法，使用精细的数据处理技术以及降维和基于套索的估计方法。我们不仅结合了几个已知的特征，如季节性行为或可再生能源等其他过程的影响，而且还结合了投标结构的全新阐述的程式化事实。我们的模型能够捕捉电价的非线性行为，这对于预测巨大的电价峰值特别有用。利用模拟方法，我们展示了如何推导概率预测的预测区间。我们描述并展示了德国和奥地利日前EPEX现货价格的拟定方法。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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