Time series analysis and forecasting electricity prices in turkey

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Fen Edebiyat Fakültesi, İstatistik Bölümü, Türkiye

Tezin Onay Tarihi: 2015

Öğrenci: SEYED AMİR HAMED ZAKERİ

Danışman: CEYLAN YOZGATLIGİL

Özet:

Due to the liberalization of the electricity market, prices are now determined based on contracts on regulated markets and their behavior is mainly driven by constant supply and demand forces. Power producers and consumers need accurate price forecasting tools in a competitive market. Price forecasts give important information for producers and consumers to plan bidding strategies to maximize their bene ts and utilities. Analysis of hourly electricity prices in Turkey is challenging due to the existence of multiple seasonality. In this study, we construct a time series model and obtain short-term forecasts of hourly elec- tricity prices using multiple regression method. We used lagged price values, demand as the exogenous variable and dummy variebles for Saturdays and Sun- days to capture the seasonality in the price.