A Review of Short-Term Electricity Price Forecasting Techniques in Deregulated Electricity Markets

Electricity price forecasting has become an important area of research globally since the introduction of the deregulated whole-sale electricity markets. All whole-sale market participants, such as generators, power suppliers, investors and traders, require accurate electricity price forecasts in order to maximize their profitability. Unlike load forecasting, electricity price forecasting is much more complex because of the unique characteristics, uncertainties in operation as well as the bidding strategies of the market participants. During the last two decades, many techniques and models have been developed for forecasting whole-sale electricity prices, especially for the short-term price forecasting. This paper reviews established approaches to electricity price forecasting and provides an insight into the development of future electricity price forecast methods for readers who are working in the academia or industry.