NCN 2018/30/A/HS4/00444

Crossing Frontiers in electricity prIce forecasTing (CrossFIT)

Grant no.: NCN 2018/30/A/HS4/00444
Funding agency: National Science Centre (NCN), Poland
Funding scheme: MAESTRO
Funding period: 1.07.2019-30.06.2024 (60 months)
Budget: 2 961 200 PLN
Title in Polish: Przekraczanie granic w prognozowaniu cen energii elektrycznej (CrossFIT)

Research team:

Principal Investigator (Kierownik):

Senior Investigator (Główny wykonawca):

Post-doc

Investigators (Wykonawcy):

Collaborators (Współpracownicy):

– Ph.D. / M.Sc. / B.Sc. student

Aims and scope:

Over the last two decades price forecasts have become fundamental inputs to energy companies’ decision-making mechanisms and a variety of methods have been tried for electricity price forecasting (EPF). However, the unprecedented expansion of renewable generation and active demand side management on one hand, and machine learning advances as well as the increase of computational power on the other, have recently provided the impulse and – the much needed – technical possibilities to cross the frontiers of today’s electricity price forecasting. It is exactly the aim of the CrossFIT project to go beyond the state-of-the-art by carrying out the following four tasks:

Tasks:

  1. Development and validation of new techniques for electricity price forecasting based on deep and statistical learning.
  2. Optimization of calibration window(s) selection for short-term forecasting with statistical and computational intelligence methods.
  3. Development and validation of approaches to multidimensional (ensemble) electricity price forecasting.
  4. Development of measures and procedures for assessing the financial impact of electricity price forecasting errors.

Expected impact:

The CrossFIT project is interdisciplinary in nature and will, in particular, contribute to: (i) computational statistics and computer science by developing efficient EPF algorithms that use deep or statistical learning and utilize carefully selected calibration windows, (ii) econometrics by analyzing existing and developing new methods for computing and evaluating ensemble forecasts, (iii) finance by proposing measures that assess the financial impact of EPF errors, and (iv) electrical engineering by virtue of the analyzed processes. From the utilitarian point of view it will contribute to improving forecasting and risk management practices in the energy sector and in the longer run it may contribute to improving the financial stability of the firms operating in the power market and the national energy security.

Publications:

Peer-reviewed articles in JCR-listed journals

2019 (0+)

Peer-reviewed articles in non JCR-listed journals

Book chapters

Conference papers

Forthcoming publications, submitted papers and work in progress 

Developed software components