论文标题
预测日内散布电价的密度
Forecasting the Intra-Day Spread Densities of Electricity Prices
论文作者
论文摘要
日内价格的差价吸引了电力交易员，存储和电动汽车运营商。本文根据偏斜的T和类似的表示，制定了动态密度函数，以模拟和预测德国电价在一天中的不同小时之间扩张，如日期拍卖中所示。密度函数的四个规格是动态的，有条件在外源驱动器上，从而使密度的位置，尺度和形状参数每小时响应天气和需求预测等因素。根据累积分布函数的封闭形式的分析解决方案，根据弹球损失函数选择了每个差异的最佳拟合和预测规格。
Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German electricity price spreads between different hours of the day, as revealed in the day-ahead auctions. The four specifications of the density functions are dynamic and conditional upon exogenous drivers, thereby permitting the location, scale and shape parameters of the densities to respond hourly to such factors as weather and demand forecasts. The best fitting and forecasting specifications for each spread are selected based on the Pinball Loss function, following the closed-form analytical solutions of the cumulative distribution functions.
