?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F740%2F&rft.title=MIBEL+prices%3A+parameter+estimation+and+pattern+simulation&rft.creator=Borges%2C+Ana&rft.creator=Monteiro%2C+Andreia&rft.creator=Costa+e+Silva%2C+Eliana&rft.creator=Andrade%2C+Marina&rft.creator=Teodoro%2C+M.+Filomena&rft.creator=Menezes%2C+Raquel&rft.subject=Energy+and+utilities&rft.description=EDP+Group+is+an+Energy+Solutions+Operator+which+operates+in+the+business+areas+of+generation%2C+supply+and+distribution+of+electricity+and+supply+and+distribution+of+gas.%0D%0A%0D%0AThe+challenge+proposed+by+EDP+consists+in+simulating+electricity+prices+not+only+for+risk+measures+purposes+but+also+for+scenario+analysis+in+terms+of+pricing+and+strategy.+Data+concerning+hourly+electricity+prices+from+2008+to+2016+was+provided.%0D%0A%0D%0ANumerous+methods+to+deal+with+Electricity+Price+Forecasting+(EPF)+have+been+proposed+and+can+be+classified+as%3A+(i)+multi-agent+models%2C+(ii)+fundamental+models%2C+(iii)+reduced-form+models%2C+(iv)+statistical+models+and+(v)+computational+intelligence+models.+A+recent+an+exaustive+review+is+presentes+in+%5B13%5D.%0D%0A%0D%0ADuring+this+study+group+different+promising+Statistical+techniques+were+propose+by+the+study+group+contributors%3A+ARIMA%2C+sARIMA%2C+Longitudinal+Models%2C+Generalized+Linear+Models+and+Vector+Autoregressive+Models.+In+this+report+a+GLM+and+a+vector+autoregressive+model+are+presented+and+their+predictive+power+is+discussed.%0D%0A%0D%0AIn+the+GLM+framework+two+different+transformations+were+consider+and+for+both+the+season+of+the+year%2C+month+or+winter%2Fsummer+period+revealed+significant+explanatory+variables+in+the+different+estimated+models.%0D%0AOn+the+other+hand%2C+the+multivariate+approach+using+VAR+considering+as+exogenous+variables+the+meteorologic+season+and+the+type+of+day+yield+a+multivariate+model+that+explains+the+intra-day+and+intra-hour+dynamics+of+the+hourly+prices.+Although+the+forecast+do+not+exactly+replicate+the+real+price+they+are+quite+similar.%0D%0A%0D%0AIn+both+of+the+approaches+here+reported+a+more+extensive+work+would+certainly+improve+the+proposed+models.%0D%0AIn+conclusions%2C+EPF+is+a+growing+area+that+groups+multiple+different+approaches+that+can+be+applied.+In+fact%2C+other+approaches+from+multi-agent+models%2C+fundamental+models%2C+reduced-form+models+and+computational+intelligence+models%2C+also+present+a+great+space+for+EPF.&rft.date=2016&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F740%2F1%2Fproblem-4-parameter-estimation-and-pattern-simulation.pdf&rft.identifier=++Borges%2C+Ana+and+Monteiro%2C+Andreia+and+Costa+e+Silva%2C+Eliana+and+Andrade%2C+Marina+and+Teodoro%2C+M.+Filomena+and+Menezes%2C+Raquel++(2016)+MIBEL+prices%3A+parameter+estimation+and+pattern+simulation.++%5BStudy+Group+Report%5D+++++