Day-ahead electricity market price forecasting using artificial neural network with spearman data correlation

Electricity markets are complex environments with very dynamic characteristics. The large-scale penetration of renewable energy sources has brought an increased uncertainty to generation, which is consequently, reflected in electricity market prices. In this way, novel advanced forecasting methods that are able to predict electricity market prices taking into account the new variables that influence prices variation are required. This paper proposes a new model for day-ahead electricity market prices forecasting based on the application of an artificial neural network. The main novelty of this paper relates to the pre-processing phase, in which the relevant data referring to the different variables that have a direct influence on market prices such as generation, temperature, consumption, among others, is analysed. The association between these variables is performed using spearman correlation, from which results the identification of which data has a larger influence on the market prices variation. This pre-analysis is then used to adapt the training process of the artificial neural network, leading to improved forecasting results, by using the most relevant data in an appropriate way.This work has been developed under the MAS-SOCIETY project - PTDC/EEI-EEE/28954/2017 and received funding from UID/EEA/00760/2019, funded by FEDER Funds through COMPETE and by National Funds through FCT