Electricity price fundamentals in hydrothermal power generation markets using machine learning and quantile regression analysis

A. Oviedo-Gómez, S.M. Londoño Hernández, D-F. Manotas Duque

International Journal of Energy Economics and Policy Vol. 11, nº. 5, pp. 66 - 77

Resumen:

A hydrothermal power generation market is characterized by a strong dependence on water reservoir capacity and fossil fuel sources, which causes differences in generation marginal costs and high variability of the electricity spot price. Therefore, this study proposes an empirical approach to identify the price determinants and their effects on price dynamics. This paper presents two methodologies: a machine learning approach and a quantile regression analysis. The first method is used to validate the price determinants through a prediction process, and the second, the quantile regression, to identify the non-linear effects. The most important factors observed are total market demand, water reservoirs capacity for generation, and fossil fuel consumption. The results offer a new perspective about the market structure and spot price volatility.

Palabras Clave: electricity prices; hydrothermal power generation markets; machine learning; quantile regression; Gaussian process regression

Referencia DOI: https://doi.org/10.32479/ijeep.11346

Publicado en papel: Agosto 2021.

Cita:
A. Oviedo-Gómez, S.M. Londoño Hernández, D-F. Manotas Duque, Electricity price fundamentals in hydrothermal power generation markets using machine learning and quantile regression analysis. International Journal of Energy Economics and Policy. Vol. 11, nº. 5, pp. 66 - 77, Agosto 2021.