Forecasting next-day price of electricity in the Spanish energy market using artificial neural networks

In this paper, next-day hourly forecasts are calculated for the energy price in the electricity production market of Spain. The methodology used to achieve these forecasts is based on artificial neural networks, which have been used successfully in recent years in many forecasting applications. The days to be forecast include working days as well as weekends and holidays, due to the fact that energy price has different behaviours depending on the kind of day to be forecast. Besides, energy price time series are usually composed of too many data, which could be a problem if we are looking for a short period of time to reach an adequate forecast. In this paper, a training method for artificial neural nets is proposed, which is based on making a previous selection for the multilayer perceptron (MLP) training samples, using an ART-type neural network. The MLP is then trained and finally used to calculate forecasts. These forecasts are compared to those obtained from the well-known Box–Jenkins ARIMA forecasting method. Results show that neural nets perform better than ARIMA models, especially for weekends and holidays. Both methodologies calculate more accurate forecasts—in terms of mean absolute percentage error—for working days that for weekends and holidays. Agents involved in the electricity production market, who may need fast forecasts for the price of electricity, would benefit from the results of this study.