利用已公布的竞价曲线进行电价预测的误差修正
Using published bid/ask curves to error dress spot electricity price forecasts
摘要：
电力现货价格的准确预测对于电力生产商和分销商的日常运营和规划决策至关重要。通常情况下，这些数量的点预测就足够了，特别是在北方联营市场，大量的水力发电导致价格稳定。然而，当情况变得不规则时，价格表上的偏差往往会非常大，难以精确定位，这是由于在负荷曲线边缘的发电设施的边际成本变化很大。在这些情况下，用分布预测取代点预测是有用的，特别是其尾部适应当前生产状况的预测。这项工作概述了一种方法，利用公布的出价/要价信息从北池市场构建这样的自适应预测分布。我们的方法是一个非标准的应用程序的错误敷料的概念，它耦合的功能驱动的错误分布在体积空间与非线性变换通过公布的出价/要价曲线，以获得高度非对称的，自适应的价格分布。使用Nord Pool市场的数据，我们证明了我们的方法优于更标准形式的分布建模。我们进一步展示了如何可以使用这样的分布来呈现“预警系统”，发出可靠的价格超过各种重要阈值的概率。
英文摘要：
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities suffice, particularly in the Nord Pool market where the large quantity of hydro power leads to price stability. However, when situations become irregular, deviations on the price scale can often be extreme and difficult to pinpoint precisely, which is a result of the highly varying marginal costs of generating facilities at the edges of the load curve. In these situations it is useful to supplant a point forecast of price with a distributional forecast, in particular one whose tails are adaptive to the current production regime. This work outlines a methodology for leveraging published bid/ask information from the Nord Pool market to construct such adaptive predictive distributions. Our methodology is a non-standard application of the concept of error-dressing, which couples a feature driven error distribution in volume space with a non-linear transformation via the published bid/ask curves to obtain highly non-symmetric, adaptive price distributions. Using data from the Nord Pool market, we show that our method outperforms more standard forms of distributional modeling. We further show how such distributions can be used to render `warning systems' that issue reliable probabilities of prices exceeding various important thresholds.
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