Sökning: "Daniel Arredondo"

Hittade 1 uppsats innehållade orden Daniel Arredondo.

  1. 1. A Mixed Time-Series & Machine Learning Approach for Price Forecasting in the Swedish Ancillary Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Författare :Daniel Arredondo; [2023]
    Nyckelord :Hybrid model; Volatility model; Machine learning model; Price spike prediction; Energy trading; Time series forecasting; Ancillary service market; Business and Economics;

    Sammanfattning : This study aims to forecast the Swedish FCR-D Down A2 market prices through a hybrid model combining a volatility model and a machine learning approach, and compares its performance with a standalone machine learning model. We further examine the impact of different lag orders (1-Hr vs. 24-Hr) on volatility estimates and forecast performance. LÄS MER