Source codes in the Ph.D. Thesis

This repository includes all the scripts developed within the work of my Ph.D. Thesis and included in Appendix D.

C.1 Electricity Price Forecasting

C.1.1 Day-ahead and imbalance price forecasting with ARMAX models

• Price_Rec_exp.R: Recursively expanding model to forecast prices.
• Price_Rolling.R: Rolling model to forecast prices.

C.1.2 Monte Carlo simulations

• Monte_Carlo.py: Monte Carlo simulations.

C.1.3 Benchmark price forecasting model

• Price_Benchmark.py: Benchmark model (variation of the "similar-day" method).

C.2 Imbalance Sign Forecasting

• NIV_RecExp.R: Recursively expanding model to forecast imbalance sign.
• NIV_Rolling.R: Rolling model to forecast imbalance sign.