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One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange
https://doi.org/10.24517/00067122
https://doi.org/10.24517/00067122051c2936-cf59-4a93-9309-9e291c89d1ca
| 名前 / ファイル | ライセンス | アクション |
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FR-PR-MATSUMOTO-T-14-1.pdf (2.2 MB)
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| Item type | 学術雑誌論文 / Journal Article(1) | |||||||
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| 公開日 | 2022-09-26 | |||||||
| タイトル | ||||||||
| タイトル | One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||
| 資源タイプ | journal article | |||||||
| ID登録 | ||||||||
| ID登録 | 10.24517/00067122 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
Matsumoto, Takuji
× Matsumoto, Takuji× Endo, Misao |
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| 著者別表示 |
松本, 拓史
× 松本, 拓史
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| 提供者所属 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 金沢大学融合研究域融合科学系 | |||||||
| 書誌情報 |
Journal of Energy Markets 巻 14, 号 3, p. 1-26, 発行日 2021-09 |
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| ISSN | ||||||||
| 収録物識別子タイプ | ISSN | |||||||
| 収録物識別子 | 1756-3607 | |||||||
| ISSN | ||||||||
| 収録物識別子タイプ | ISSN | |||||||
| 収録物識別子 | 1756-3615 | |||||||
| NCID | ||||||||
| 収録物識別子タイプ | NCID | |||||||
| 収録物識別子 | AA12664874 | |||||||
| DOI | ||||||||
| 関連タイプ | isIdenticalTo | |||||||
| 識別子タイプ | DOI | |||||||
| 関連識別子 | 10.21314/JEM.2021.004 | |||||||
| 出版者 | ||||||||
| 出版者 | Infopro Digital Services | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | Although forecasting one-week-ahead average electricity prices is necessary for decision-making such as evaluating forward contracts, its modeling has not been sufficiently studied. Therefore, to find a suitable forecasting approach, this study constructs and compares multiple parsimonious models using widely published weekly weather forecasts and then applies them to arbitrage trading in the forward market. In particular, we clarify the following empirical results using the data from Japan Electric Power Exchange. First, instead of using forecasted temperature directly as an explanatory variable, the two-step forecasting method using measured temperature as an intermediate variable is more likely to reduce forecast errors. Second, quantile regression has better density forecast accuracy than the generalized autoregressive conditional heteroscedasticity model. Third, the logarithmic conversion for prices tends to improve forecast accuracy. Fourth, one-week-ahead weather forecasts can significantly improve both the price forecast accuracy and the arbitrage profit. The proposed arbitrage strategy can be used by many participants because it can be flexibly changed according to the player’s risk tolerance. In addition, our forecasting/trading method, based on published weather forecasts, has wide applicability in that it can be constructed even in markets where system information is not sufficiently disclosed. © 2021 Infopro Digital Risk (IP) Limited. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Embargo Perod 12 months | |||||||
| 権利 | ||||||||
| 権利情報 | Copyright © 2021 Infopro Digital Risk (IP) Limitedc 2021 Infopro Digital Risk (IP) Limited | |||||||
| 権利 | ||||||||
| 権利情報 | Copyright Infopro Digital Limited 2021. All rights reserved. You may shareusing our article tools. This article may be printed for the sole use of theAuthorised User (named subscriber), as outlined in our terms and conditions.https://www.infopro-insight.com/termsconditions/insight-subscriptions | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | VoR | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
| 関連URI | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://www.risk.net/journal-of-energy-markets/7874941/one-week-ahead-electricity-price-forecasting-using-weather-forecasts-and-its-application-to-arbitrage-in-the-forward-market-an-empirical-study-of-the-japan-electric-power-exchange | |||||||
| 関連名称 | https://www.risk.net/journal-of-energy-markets/7874941/one-week-ahead-electricity-price-forecasting-using-weather-forecasts-and-its-application-to-arbitrage-in-the-forward-market-an-empirical-study-of-the-japan-electric-power-exchange | |||||||
| 関連URI | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | http://www.risk.net/type/technical-paper/source/journal-of-energy-markets | |||||||
| 関連名称 | http://www.risk.net/type/technical-paper/source/journal-of-energy-markets | |||||||
| 関連URI | ||||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | http://www.risk.net/ | |||||||
| 関連名称 | http://www.risk.net/ | |||||||
