Under deregulated environment, accurate price forecasting provides crucial information for electricity market participants to make reasonable competing strategies. With comprehensive consideration of the influencing factors and the varying rules of the day-ahead electricity price of the PJM electricity market, a short-term electricity price forecasting method based on GM(1,2) and ARMA is proposed, in which the equal-dimension and new-information GM(1,2) model is firstly used to the raw data of electricity price series, and then the ARMA model is used to the gray residuals. The numerical example based on the historical data of the PJM market shows that the method can reflect the characteristics of electricity price better and the forecasting accuracy can be improved virtually compared with the conventional GM(1,2) model.
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