E3S Web Conf.
Volume 152, 20202019 International Conference on Power, Energy and Electrical Engineering (PEEE 2019)
|Number of page(s)||5|
|Section||Power Electronics and Transmission Technology|
|Published online||14 February 2020|
A strategy for electricity buyers in futures markets
Department of Electrical Engineering and Computers, University of Porto, 4200-465 Porto, Portugal
2 Department of Electrical Engineering, University of Zaragoza, 50018 Zaragoza, Spain
3 Department of Electrical Engineering, University of La Rioja, 26004 Logroño, Spain
* Corresponding author: email@example.com
This paper presents an original trading strategy for electricity buyers in futures markets. The strategy applies a medium-term electricity price forecasting model to predict the monthly average spot price which is used to evaluate the Risk Premium for a physical delivery under a monthly electricity futures contract. The proposed trading strategy aims to provide an advantage relatively to the traditional strategy of electricity buyers (used as benchmark), anticipating the good/wrong decision of buying electricity in the futures market instead in the day-ahead market. The mid-term monthly average spot price forecasting model, which supports the trading strategy, uses only information available from futures and spot markets at the decision moment. Both the new trading strategy and the monthly average spot price forecasting model, proposed in this paper, have been successfully tested with historical data of the Iberian Electricity Market (MIBEL), although they could be applied to other electricity markets.
© The Authors, published by EDP Sciences, 2020
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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