Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach

Modeling and Forecasting Electricity Loads and Prices offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes - electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series - including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk.

An accompanying CD containing both the data and detailed examples of implementation of different techniques in Matlab will enable readers to retrace all the intermediate steps of a practical implementation of a model and test their understanding of the method and correctness of the computer code using the same input data.

The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to rush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and fiance wanting to get a grip on advanced Statistical tools applied in this hot area. Complete with sixteen case studies, this book is a highly practical, self-contained tutorial to electricity load and price modeling and forecasting.

"the ability to predict correctly the system load, customer specific load and the electricity prices is of critical importance to any regulated utility, independent power producer, power marketers and traders. Given high volatility of electricity prices, even a small forecasting error can have a very significant impact on the bottom line. Dr. Weron's book provides an in-depth, up-to-date and very well organized review of Statistical techniques for forecasting power load and prices and is highly recommended to any practitioner of the modern electricity markets."
— Vince Kaminski, Managing Director, Citigroup, Houston and Adjunct Professor, Rice University, Houston