Forecasting intraday electricity prices on the Nord Pool using LASSO

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dc.contributor.advisorKangro, Raul, juhendaja
dc.contributor.authorPikmets, Robert
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ăślikool. Matemaatika ja statistika instituutet
dc.date.accessioned2021-07-01T07:31:01Z
dc.date.available2021-07-01T07:31:01Z
dc.date.issued2021
dc.description.abstractThis thesis aims to forecast hourly intraday electricity prices on the Nord Pool’s continuous intraday market Elbas. For this, an aggregate volumeweighted average price of all intraday transactions during the last 4 hours prior to each delivery hour is predicted for the Nordic and Baltic price areas. The main modelling technique used is the least absolute shrinkage and selection operator (LASSO). Two of the most common forecasting frameworks are compared, known as the univariate and multivariate frameworks in the electricity price forecasting literature. The LASSO estimated model set in the univariate framework is found to perform the best, beating the multivariate framework as well as simple benchmark models in terms of forecast accuracy. The best performing LASSO model achieves a MAE of 3.83 EUR/MWh and RMSE of 6.99 EUR/MWh in the out-of-sample test period, representing a 13:6% increase in forecasting accuracy compared to the best naive estimate.en
dc.identifier.urihttp://hdl.handle.net/10062/72876
dc.language.isoenget
dc.rightsopenAccesset
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectR (programmeerimiskeel)et
dc.subjectR (programming language)en
dc.subjectLASSOet
dc.subjectLASSOen
dc.subjectNord Poolet
dc.subjectNord Poolen
dc.subjectintraday electricity marketen
dc.subjectpäevasisene elektriturget
dc.subjectelektrihinna prognoosimineet
dc.subjectelectricity price forecastingen
dc.titleForecasting intraday electricity prices on the Nord Pool using LASSOen
dc.typeinfo:eu-repo/semantics/masterThesiset

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