Chaotic behavior of price in the power markets with pay-as-bid payment mechanism

被引：9

作者：

Bigdeli, N. ^{[1
]}

Afshar, K. ^{[2
]}

机构：

[1] Imam Khomeini Int Univ, EE Dept, Linear Syst Control Lab, Qazvin, Iran

[2] Imam Khomeini Int Univ, EE Dept, Elect Machinery Lab, Qazvin, Iran

来源：

CHAOS SOLITONS & FRACTALS | 2009年 / 42卷 / 04期

关键词：

ARTIFICIAL NEURAL-NETWORKS; TCP/RED COMPUTER-NETWORKS; DAY ELECTRICITY PRICES; TIME-SERIES ANALYSIS; STRANGE ATTRACTORS; SURROGATE DATA; ARIMA MODELS; RECONSTRUCTION; NONLINEARITY; INFORMATION;

D O I：

10.1016/j.chaos.2009.03.193

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Price forecasting in the current deregulated power markets is an important requirement for deriving proper bidding strategy and profit maximization of producers. On the other hand, the energy price in the power market experiences lots of fluctuations which may affect the accuracy of the price forecasting seriously. Seeking for predictability, in this paper, the characteristics of these fluctuations are investigated through time series analysis methods. The results of analyses are representative of the existence of a deterministic chaos in the system with a mimic predictability. Besides, it is observed that because of existing the seasonality and non-stationarity in the system dynamics, a fixed model cannot perform properly even in case of normalized input data, but the developed models should be updated regularly. (c) 2009 Elsevier Ltd. All rights reserved.

引用

页码：2560 / 2569

页数：10

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