Essays about: "Daniel Arredondo"

Found 1 essay containing the words Daniel Arredondo.

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

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

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

    Abstract : 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. READ MORE