Short-term electricity price forecasting methods based on time series ARMAX models

Under deregulated environment,accurate price forecasting provides crucial information for electricity market participants to make reasonable competing strategies.With comprehensive considerations of the various influencing factors on and the fluctuation rules of the day-ahead electricity price of the United States PJM electricity market,a short-term electricity price forecasting method based on the time series ARMAX model was proposed,in which the non-linear relationship between the load and the day-ahead price was fully taken into account.The example case based on the historical data of the PJM market from January to April in 2008 showed that the method could reflect the characteristics of electricity price better and the forecasting accuracy could be improved virtually.