Published in IET Generation, Transmission & Distribution

Received on 14th May 2012

Revised on 21st December 2012
Accepted on 14th January 2013
doi: 10.1049/iet-gtd.2012.0263
ISSN 1751-8687
Day-ahead electricity price analysis and forecasting
by singular spectrum analysis
Arash Miranian
1
, Majid Abdollahzade
1
, Hossein Hassani
2
1
Department of Mechanical Engineering, Pardis Branch, Islamic Azad University, Pardis New City, Tehran, Iran
2
Business School, Bournemouth University, Bournemouth, UK
E-mail: ar.miranian@gmail.com
Abstract: This study proposes a model-free approach for day-ahead electricity price forecasting. The proposed approached is
based on the singular spectrum analysis (SSA) technique. The SSA is a relatively new and powerful technique in time series
analysis and forecasting thanks to its well-known capabilities in extracting the main structure of the broad classes of the time
series. In this study, it is shown that SSA can be employed to decompose the original electricity price series into trend,
periodic and noisy components. The main part of the price series, that is, the trend and harmonic components, is
reconstructed by removing the noise component from the original series. The reconstructed price series is then used for
forecasting the day-ahead electricity prices. The proposed approach is evaluated by analysing and forecasting of the day-
ahead electricity prices in the Australian and Spanish electricity markets. The forecasting results conrm the superiority of the
SSA approach compared with some of the recently published forecasting techniques.
1 Introduction
Electricity price forecasting has turned into an important task for
participants in the competitive electricity markets. Having
reliable information about the future values of the electricity
price is valuable for both power companies, who need accurate
price estimates to submit proper biddings and optimally
schedule their generators, and the large industrial consumers,
who aim for maximising their utility and hedge against pool
price variations and spikes in mid-term horizons [1, 2].
The electricity price is a non-linear and non-stationary
series with variable mean and variance which makes it
difcult to be predicted [3]. Furthermore, it is inuenced by
many factors, such as the level of demand, available
generation capacity, equipment outages, fuel price, hydro
condition, bidding strategies and calendar effects.
Over the past decade, various efforts have been made on
electricity price forecasting, especially day-ahead forecasts.
Linear dynamic models are among the rst approaches,
proposed for the electricity price forecasting. For instance,
autoregressive and autoregressive integrated moving average
(ARIMA) techniques were developed to analyse and
forecast the electricity prices in Spanish and Californian and
Norwegian markets, respectively [2, 4]. Other linear
dynamic approaches such as dynamic regression and
transfer function models have also been proposed for the
price forecasting and examined on the electricity markets of
mainland Spain and California [5].
Although interesting results have been reported for the
electricity price forecasting using time series techniques, but
such techniques fail to accurately forecast the hard
non-linear behaviours and the volatility of the price signal.
Therefore, in recent years, computational intelligence
(CI)-based approaches have been proposed for the
electricity price forecasting. Niimura and Nakashima [6]
proposed fuzzy regression models for electricity price
forecasting in the Californian electricity market. A recurrent
neural network (NN) was proposed by Hong and Hsiao [7]
for the forecasting of the locational marginal price in the
deregulated electricity markets. In [8], a new fuzzy neural
network was proposed for softening high-frequency changes
of the price signal and achieving better forecasting
accuracy. Use of adaptive wavelet neural networks for
electricity price forecasting has also been reported in [9].
Abdollahzade et al. [10] proposed a local linear neuro fuzzy
(LLNF) model for the electricity price forecasting in
mainland Spain, California and PennsylvaniaNew Jersey
Maryland (PJM) electricity markets. The main idea in the
LLNF modelling was dividing a large and complex
problem into a set of smaller, and thus simpler
sub-problems, and then solving each sub-problem.
Combination of the time series and CI-based models has
also been proposed for the electricity price forecasting. In a
recent study, Areekul et al. [11] developed a hybrid model,
combining the ARIMA and NNs (ARIMA-NNs) for
forecasting of the short-term electricity price in the
Australian market.
In this paper, a novel approach for the electricity price
analysis and forecasting is proposed which is based on the
recently introduced technique of the singular spectrum
analysis (SSA). Unlike all the reviewed approaches, SSA
forecasting does not require any predetermined model
structure or any training stage. It is a model-free approach,
which rst performs decomposition on the time series and
www.ietdl.org
IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346 337
doi: 10.1049/iet-gtd.2012.0263 & The Institution of Engineering and Technology 2013
then reconstructs an approximate series by keeping the
informative components and eliminating the noise
components. Finally, the reconstructed time series is
forecasted by the linear recurrent formula (LRF), using a set
of eigenvectors, computed in the decomposition stage.
In the rest of this paper, rst the theoretical background of
the SSA is presented. Then, this technique is used for
the analysis and forecasting of the electricity price in the
Australian and Spanish electricity markets. Besides, the
results of the forecasting will be compared with those
obtained by the ARIMA, NN and hybrid ARIMA-NN in
[11], as well as the multi-layer perceptron (MLP) and radial
basis functions (RBF) NNs.
2 Singular spectrum analysis
The SSA technique, as a relatively novel time series analysis
technique, does not require any specic assumptions about
the statistical properties of the time series in order to
perform analysis and forecasting [12, 13]. Considering its
forecasting methodology, the SSA is a model-free
forecasting approach which, unlike the linear dynamic
models and CI-based techniques, requires no parameter
tuning, training procedure and validation dataset. Hence, the
problems such as getting stuck in local minima and
overtting, are avoided. Furthermore, the proper input
selection is considered as an important but challenging
stage in forecasting by the CI-based techniques and linear
dynamics models. The input selection, especially when the
time series is highly non-linear and volatile (e.g. electricity
price), is time-consuming and requires elaborate techniques,
such as mutual information, Gamma test etc. As another
advantage of the SSA forecasting, the inputs selection is not
required. Many successful applications of the SSA in time
series analysis and forecasting and other engineering areas
have been reported in the literature [1417].
It must be noted that there are differences between the SSA
and other decomposition techniques such as discrete wavelet
transform (DWT), which have already been applied to the
electricity price forecasting as in [18]. Both SSA and DWT
are able to decompose a time series into a set of
constitutive components. Wavelet transform uses a wavelet
basis whereas the SSA uses an eigenfunction basis derived
from the data. They both offer the same functionality, that
is, approximation of the time series. However, SSA
provides more information regarding the decomposed
components and therefore gives more insight into the
original time series. The SSA can identify trend, cyclic and
their associated period and noise components in a time
series [14]. On the other hand, the DWT decomposes the
time series into approximation and detail components and
identies the noise component [17]. In general, and in
contrast to the SSA, the DWT cannot provide information
about cyclic properties of the time series straightforwardly.
Moreover, the SSA can forecast the reconstructed time
series using the LRF whereas DWT can be employed for
the time series preprocessing only. In case of DWT, usually
a forecasting model is required to forecast the time series
reconstructed by the DWT or individual models are used to
forecast the approximation and detail components [19].
2.1 Description of the SSA
SSA is established based on the singular value decomposition
(SVD) of the trajectory matrix, derived from the original time
series. It involves four steps, namely embedding, SVD,
grouping and reconstruction. A description of each stage
will be presented in the following sections [13].
2.1.1 Step 1: embedding: Consider a time series Y
N
=
(y
1
, y
2
,, y
N
) of length (N > 2). Let L < N/2 be the
window length of the SSA. The trajectory matrix X can be
constructed from L-lagged vectors of the original time series.
X = X
1
, X
2
, . . . , X
K
_ _
(1)
X
i
= y
i
, y
i+1
, . . . , y
i+L1
_ _
T
, 1 i K (2)
where, K = N L + 1 and superscript T stands for the
transposition. In fact, in the embedding stage the original
time series is mapped into a matrix of lagged vectors as
follows
X =
y
1
y
2
. . . y
k
y
2
y
3
. . . y
k+1
.
.
.
.
.
.
.
.
.
.
.
.
y
L
y
L+1
. . . y
N
_
_
_
_
_
_

_
(3)
Considering (3), it is obvious that the elements on the
off-diagonals of X (i + j = constant) are identical, which
means that the trajectory matrix is a Hankel matrix.
2.1.2 Step 2: singular value decomposition: The
second step includes SVD of the trajectory matrix. To
perform this step, the covariance matrix S = XX
T
is
formed. The SVD of the matrix S results in the extraction
of the eigenvalues,
1
,
2
, ,
L
, and eigenvectors, U
1
, U
2
,
, U
L
of the matrix S. Note that the eigenvalues are
arranged in a decreasing order (
1

2

L
0).
Considering d = max{i, such that
i
> 0}, and setting the
factor vectors V
i
= X
T
U
i
/
...
l
i
_
, then the SVD of the
trajectory matrix X can be stated as follows
X = X
1
+. . . +X
d
(4)
where X
i
=
...
l
i
_
U
i
V
T
i
.
Note that ||X|| =

d
i=1
l
i
and ||X
i
|| =
i
. Hence, the ratio
l
i
/

d
i=1
l
i
can be interpreted as the contribution of the
matrix X
i
in the expansion (4). It is worth noting that
matrices X
i
are elementary matrices and have rank 1. The
collection {
i
, U
i
, V
i
} is termed ith eigentriple in the SSA
literature. The principal component (PC), associated with
the ith eigentriple is dened as PC
i
= X
T
U
i
.
2.1.3 Step 3: grouping: The procedure of the grouping
partitions the set of elementary matrices indices {1, ,d}
into m disjoint subsets of I
1
, , I
m
. Let group I
k
= {i
k,1
,
, i
k,p
}, 1 k m and 1 p d. Now the resultant
matrix associated with the group I
k
can be dened as
X
I
k
= X
i
k,1
, . . . , X
i
k,p
. The components which form the
periodic, quasi-periodic or any other structured time series
can be considered for the grouping in this step. The
grouping of the elementary matrices in (4) results in the
following decomposition
X = X
I
1
+X
I
2
. . . +X
I
m
(5)
In the SSA terminology, the procedure of selecting subsets
I
1
, , I
m
is termed as eigentriple grouping.
www.ietdl.org
338 IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346
& The Institution of Engineering and Technology 2013 doi: 10.1049/iet-gtd.2012.0263
2.1.4 Step 4: diagonal averaging: In the nal step of the
SSA algorithm, an approximation of the original time series is
reconstructed by applying the so-called diagonal averaging
procedure to the m subsets of the grouped elementary
matrices in (5).
It is assumed that G is an L K matrix with elements g
ij
,
1 i L, 1 j K. Furthermore, Let L* = min(L, k),
K* = max(L, K) and N = L + K 1. By applying the
diagonal averaging procedure to the matrix G, the series
f = ( f
1
, f
2
, , f
N
) is produced as expressed below
f
k+1
=
1
k +1

k+1
m=1
g

m,km+2
, 0 k , L

1
1
L

m=1
g

m,km+2
, L

1 k , K

1
N K

NK
+1
m=kK

+2
g

m,km+2
, K

k , N
_

_
(6)
where g

ij
= g
ij
if L < K and g

ij
= g
ji
otherwise. To be more
specic, the matrix elements along the diagonal i + j = k +
2 are averaged in (6).
Diagonal averaging of each resultant matrix produces a
sub-series with the length N. Let f
k
= f
k
1
, f
k
2
, . . . , f
k
N
_ _
be
the sub-series produced by the diagonal averaging of the
resultant matrix X
I
k
, then the original time series Y
N
= (y
1
,
y
2
, y
N
) can be reconstructed by summation over the
produced sub-series
y
n
=

m
k=1
f
k
n
, 1 n N (7)
where y
n
is the reconstructed series. An illustration of four
steps of the SSA is provided by Fig. 1.
It is worth noting here that there is strong similarity
between the SVD step in the SSA and the technique of
principal component analysis (PCA) [20]. The SVD and
PCA are directly related to each other in the case where
PCs are calculated from the covariance matrix S. In fact,
SVD provides a useful factoring of the data matrix X,
whereas PCA provides a nearly parallel factoring (via
eigenanalysis) of the covariance matrix (XX
T
), when X is
column centred at 0 [12]. However, from a time-series
forecasting viewpoint, the PCA is a mathematical tool for
extraction of the information, and in particular PCs, from
the time series while the SSA is a more general technique
which is desirably able to provide time series
reconstructions and forecasts, too.
2.2 Analysis of eigentriples
Successful reconstruction of the original time series as well as
producing accurate forecasts, require some analysis on the
extracted eigentriples of the trajectory matrix.
The proper selection of the eigentriples for the
reconstruction stage is of utmost importance; the
informative components must be kept whereas the noise
component should be eliminated. The singular value
diagram, scatterplot, periodogram and analysis of the
separability are four useful tools which provide dependable
information about the components generated by the SSA.
2.2.1 Diagram of singular values: The singular values
are computed as the roots of the eigenvalues (i.e. singular
value
i
=
...
l
i
_
). The diagram of the singular values, arranged
in a decreasing order, can be used to identify the important
components. Usually, the small singular values can be
excluded from the reconstruction, without signicant loss of
information. In particular, the singular values associated
with the noise components, have a slowly decreasing trend
which makes them visually identiable.
Besides, the singular values diagram can be used to
identify the harmonic components, as well. Since each
harmonic component produces two eigentriples with close
singular values, therefore the explicit plateaux in the
singular values show the ordinal number of the paired
eigentriples [13]. The paired eigentriples indicate two
eigentriples that have to be grouped in the grouping step.
2.2.2 Scatterplot analysis: Scatterplots of the
eigenvectors are also very useful in the visual identication
of the harmonic components. Consider a pair of pure sine
cosine sequences with the identical frequencies (),
amplitudes and phases. The points of the scatterplot for this
sequence lie on a circle. If P = 1/ is an integer, then the
scatterplot will be in form of a P-vertex polygon. On the
other hand, if = m/n < 0.5 (with relatively prime integers
m and n), then the points of the scatter plot will be lying on
an n-vertex polygon. Figs. 2ad show the scatterplots of
sinecosine pairs with the same amplitudes, zero phases
and periods 12, 7, 2.5 ( = 5/2), 2.4 ( = 12/5), respectively.
2.2.3 Periodogram analysis: In the case of the
identication of a general (and not only a pure sine or
cosine) periodic component, the periodogram analysis is
really helpful. The periodogram of the eigenvector of each
eigentriple provides information about the periodic
behaviour of the component and frequency (period) of the
oscillations. Therefore proper grouping can be made with
the help of the periodogram analysis. For the series f = ( f
1
,
f
2
, , f
N
), the periodogram P
N
f
(v) is dened as
P
N
f
(v) =
1
N

N1
n=0
e
i2pvn
f
n+1

, v = (0.5, 0.5] (8)

where i =
....
1

.
For the periodic components, the periodogram has sharp
spikes around the components frequency (period). Hence
the visual identication is straightforward.
2.2.4 Concept of separability: Separability is a
fundamental concept in the SSA and provides a picture on
quality of the SSA decomposition. The SSA decomposition
of time series Y
N
is successful if the resulting additive
components of the Y
N
are separable. The separability of the Fig. 1 Four steps in SSA technique
www.ietdl.org
IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346 339
doi: 10.1049/iet-gtd.2012.0263 & The Institution of Engineering and Technology 2013
two time series Y
(1)
N
and Y
(2)
N
, for window length L can be
quantied using the measure of w-correlations (or weighted
correlation), as expressed below
r
w
12
=
Y
(1)
N
, Y
(2)
N
_ _
w
Y
(1)
N
_
_
_
_
_
_
w
Y
(2)
N
_
_
_
_
_
_
w
(9)
where
Y
(i)
N
_
_
_
_
_
_ =
.............
Y
(i)
N
, Y
(i)
N
_ _
w
_
, Y
(i)
N
, Y
(j)
N
_ _
w
=

N
k=1
w
k
y
(i)
k
y
(j)
k
and w
k
= min{k, L, T k}, and i, j = 1, 2.
The small value for r
w
12
indicates that Y
(1)
N
and Y
(2)
N
are
almost w-separable. The matrix containing the absolute
values of the w-correlations corresponding to the full
decomposition can provide useful information for proper
grouping of the eigentriples. In the full decomposition, each
group contains only one eigentriple. The small value of the
w-correlation for two reconstructed series indicates that the
two series are separable. On the other hand, large
w-correlation denotes that two reconstructed series are not
separable and must be put into one group.
3 SSA forecasting
The SSA forecasting algorithm can result in accurate forecasts
if reasonable analyses are performed on the generated
eigentriples and the time series is reconstructed by an
appropriate grouping. In SSA forecasting problem, the time
series Y
N
= Y
(1)
N
+Y
(2)
N
is assumed. There are some
important assumptions regarding SSA forecasting problem
[12]:
1. The series Y
(2)
N
is regarded as noise and the goal is to
forecast series Y
(1)
N
.
2. The two series Y
(1)
N
and Y
(2)
N
are separable by choosing a
proper window length L.
3. The series Y
(1)
N
admits LRF of order r.
The time series that satisfy the LRF can be successfully
forecasted by means of the SSA. The time series
Y
(1)
N
= y
1
, . . . , y
N
_ _
admits the LRF of order r if the
following linear relationship holds
y
i+r
= a
1
y
i+r1
+a
2
y
i+r2
+. . . +a
r
y
i
,
1 i N r
(10)
where a
1
,, a
r
are the coefcients of the LRF of order r.
Wide class of the time series satisfy the LRF, such as
harmonic, polynomial and exponential series. If we assume
that the series Y
(1)
N
admits the LRF of order r, and
choose SSA window length as L, then it can be proved that
L = r + 1 is an optimal choice [13]. Hence, the series Y
(1)
N
satises LRF of order r = L 1.
The eigenvectors, obtained in the SVD step of the SSA
algorithm can be employed to nd the coefcients of the
LRF. Let vector < = a
r
, . . . , a
1
_ _
T
contain the LRF
coefcients. The vector < can be computed using
< =
1
1 v
2

q
i=1
u
i
U

i
(11)
where q is the number of eigentriples used in time series
reconstruction, u
i
are the last element of eigenvectors U
i
,
U

i
are the vectors containing the rst L 1 elements of
eigenvectors U
i
and v is computed as follows
v
2
= u
2
1
+u
2
2
+. . . +u
2
q
(12)
Hence, after computation of the coefcients of the LFR, the
time series can be forecasted using the recurrent relationship
in (10).
4 Electricity price forecasting results and
discussions
In this section, rst, a detailed analysis on the electricity price
time series is presented. Then the results of the electricity
price forecasting by the SSA are appeared. The various
analyses, as described in Section 2.2, will be performed on
the electricity price series in order to make a successful
reconstruction as well as accurate day-ahead forecasts.
Furthermore, to provide better insights into the accuracy of
the electricity price forecasting by the SSA, comparisons
with some recently proposed methods will be also carried out.
For numerical accuracy assessment of the electricity price
forecasts, different error measures are used. Root-mean-
square error (RMSE), mean absolute error (MAE) and mean
absolute percentage error (MAPE) are employed for
evaluating the forecasting accuracy over the forecasting
horizon
RMSE =
..................
1
T

T
t=1
P
t

P
t
_ _
2

_
(13)
Fig. 2 Scatterplots for sinecosine pairs with periods
a P = 12
b P = 7
c P = 2.5
d P = 2.4
www.ietdl.org
340 IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346
& The Institution of Engineering and Technology 2013 doi: 10.1049/iet-gtd.2012.0263
MAE =
1
T

T
t=1
P
t

P
t

(14)
MAPE =
100
T

T
t=1
P
t

P
t

P
t
(15)
where, P
t
and

P
t
are the actual and forecasted electricity prices
at time t and T is the length of forecast horizon.
4.1 Electricity price analysis by SSA
The electricity prices in the national electricity market (NEM)
of Australia, operated by the Australian energy market
operator and Spanish electricity market, operated by the
Iberian market operator Spanish Branch (OMIE), are
forecasted in this paper. The NEM operates one of the
worlds largest interconnected power systems including ve
regional market jurisdictions, namely Queensland, New
South Wales, Victoria, South Australia and Tasmania [21].
On the other hand, the OMIE is responsible for the
day-ahead market in the integrated SpanishPortuguese
electricity market [22]. In this paper, the day-ahead
electricity price discovered by the OMIE in the Spanish
system is forecasted.
We start the analysis of the electricity price by considering
the electricity price series of NEM in fall from 23 April to 20
May 2006. As described in Section 2.1, it is required to
choose a suitable window length L for the SVD of the price
series. Typically, selection of the window length is
problem-dependant and requires some preliminary
information about the time series. We also know that there
is a theoretical upper limit for the window length such that
L < N/2, where N is the length of time series. It is also
recommended if the time series has a periodic component
with an integer period, it is better to choose L proportional
to that period [13]. From the experiences in electricity price
forecasting, it is known that the price series at time t has
high correlation to price at 1 day ago (t 24), 2 days ago
(t 48) and even 1 week ago (t 168) [2, 10]. Hence it
is reasonable to assume that the electricity price series has
periodic components with periods of 24, and its multiples.
Therefore L = 168 is a justied choice. The PCs of the rst
9th and 25th27th eigentriples are shown in Fig. 3. Since
the rows and columns of the trajectory matrix are sub-series
of the original price series, the left and right eigenvectors
can be seen as the time series with temporal structures. The
trend, periodic and noise PCs can be identied in Fig. 3.
As the rst step for choosing appropriate eigentriples for
the price series reconstruction, we need singular values
diagram. Fig. 4 depicts the logarithm of the singular values
of the electricity price series, obtained using window length
L = 168. After the leading 24 singular values, there is an
obvious break in the singular values curve and then a
slowly decreasing sequence of the remaining singular
values can be noted. This shows that the remaining 144
eigentriples may correspond to the noise components and
can be disregarded from the reconstruction of the price
series. Furthermore, at plateaux of singular value pairs,
such as {2, 3}, {4, 5}, {6, 7}, {8, 9} and , which
correspond to harmonic components, can be identied in
Fig. 4.
Fig. 3 PCs of the eigentriples 19 and 2527 NEM electricity price in fall 2006
Fig. 4 Logarithm of singular values for L = 168 NEM electricity
price in fall 2006
www.ietdl.org
IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346 341
doi: 10.1049/iet-gtd.2012.0263 & The Institution of Engineering and Technology 2013
The w-correlation analysis can also provide us useful
indications of proper grouping, as well as separability
analysis. The w-correlations for the all 168 reconstructed
components are shown in Fig. 5 in 20-colour scale from
black to white corresponding to 1 to 0, respectively. In
Fig. 5, the rst eigentriple corresponds to the trend
component whereas the pairs of the next eigentriples
produce harmonic components. The large sparkling square
on the top-right most of the Fig. 5 indicates noise
components. Therefore the rst 24 eigentriple will be used
in the reconstruction of the price series. Obviously because
of the negligible w-correlation coefcients, the rst 24
reconstructed components are separable from the noise
components.
The analysis of the singular values and w-correlation
matrix provides useful hints on selection of the rst 24
eigentriples for the price series reconstruction. However,
more detailed investigations are needed over the rst 24
eigentriples for a successful reconstruction and forecasting.
The scatterplots and periodograms can provide us with
more information. The scatter plots of the eigenvalues of
some of the eigentriple pairs ({2, 3}, {4, 5}, {6, 7}, {8, 9})
are shown in Fig. 6. Clearly, periods of 12 h for pairs
{4, 5} and {6, 7} and period of 6 h for pair {8, 9} are
identiable. For the remaining pair of {2, 3}, the period is
24 h. Fig. 7 shows the periodograms for the previous four
pairs. The periods of 24, 12, 12 and 6 h are visible for the
paired eigentriples {2, 3}, {4, 5}, {6, 7} and {8, 9},
respectively. The eigentriples 69 have close singular
values (this can be seen in the zoomed-in window of
Fig. 4) and therefore produced identical periodograms.
The abovementioned analysis can be performed for all the
leading 24 eigentriples to nd appropriate eigentriples for
grouping. We also performed this analysis for other seasons
of 2006, in the Australian NEM. The results of this analysis
are summarised in Table 1. The original and reconstructed
series using the selected eigentriples are illustrated in Fig. 8.
4.2 Results of NEM electricity price forecasting
The result of electricity price forecasting for NEM is
presented here. In order to give a picture on the
performance of the SSA forecasting for the whole year, we
will consider electricity price forecasting in the last week of
each month of in 2006. The results of forecasting by SSA
will be compared with the approach proposed by Areekul
et al. [11]. In order to make a fair comparison with the
results of the recently published study by Areekul et al.
[11], we use the same price data in this paper. Areekul
et al. [11] used their approach to forecast NEM electricity
price in four different weeks of four seasons of 2006.
Fig. 5 w-correlation matrix of the reconstructed components by
the all 168 eigentriples in 20-colour scale from 0 (white) to 1
(black) NEM electricity price in fall 2006
Fig. 6 Scatterplots of the paired eigenvectors
a {2, 3}
b {4, 5}
c {6, 7}
d {8, 9} NEM electricity price in fall 2006
Fig. 7 Periodograms of the paired eigenvectors
a {2, 3}
b {4, 5}
c {6, 7}
d {8, 9} NEM electricity price in fall 2006
Table 1 Results of SSA for each season of NEM in 2006
Season Window length
(L)
Selected eigentriples for
reconstruction
summer 168 124
fall 168 124
winter 168 122
spring 168 122
www.ietdl.org
342 IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346
& The Institution of Engineering and Technology 2013 doi: 10.1049/iet-gtd.2012.0263
As described in Section 3, the LRF, presented in (10), is
used for day-ahead electricity price forecasting using SSA.
As presented in Table 1, the window length for electricity
price forecasting in summer, fall, winter and spring weeks,
is set to L = 168. The order of LRF should be set to r = 168
(since r = L 1) Hence, according to the LRF in (10), the
forecasted electricity price at hour t + 1 can be expressed by
P
t
= a
1
P
t1
+a
2
P
t2
+. . . +a
167
P
t167
(16)
The LRFs coefcients, a
1
, , a
167
are estimated using (11)
and (12).
Table 2 presents the price data used for performing analysis
and the price series of the test weeks, which should be
forecasted by the SSA, for each season. Clearly, for
forecasting the electricity price in every test week, the price
series of the previous 4 weeks are used for performing SSA
and reconstructing the smoothed version of price series. For
forecasting electricity prices in each day of a test week, we
will use the price data of the past 4 weeks. Then the
forecast window moves 1 day (24 steps) ahead and the
electricity prices for the next day are forecasted. Since
24-step-ahead forecasts are intended, we assume that only
price data up to the hour 24 of the day prior to the forecast
day are available. Furthermore, an iterative approach is
taken for forecasting electricity price of each test day, that
is, when electricity price at hour t (P
t
) is forecasted, it will
be used as P
t1
for forecasting price of the next hour. To
better illustrate the LRF and iterative forecasting, consider
electricity price forecasting in for a test week. Therefore the
overall price series includes 840 hourly electricity prices,
672 hourly prices associated with the past 4 weeks used for
price analysis by SSA and 168 hourly prices associated
with the test week to be forecasted by SSA. For forecasting
the electricity price at the rst hour of the test week, which
corresponds to the 673rd points in the overall price series,
the LRF is expressed by

P
673
= a
1
P
672
+a
2
P
671
+. . . +a
167
P
506
(17)
Now, for forecasting the electricity price at the second hour of
the test week, which corresponds to the 674rd, one will have

P
674
= a
1

P
673
+a
2
P
672
+. . . +a
167
P
507
(18)
Fig. 8 Original and reconstructed price series of NEM in fall 2006
Table 2 Electricity price data of the NEM and OMIE
Electricity
market
Season Data used for
analysis
Test week
NEM summer 25 December 2005
21 January 2006
2228
January
2006
fall 23 April20 May
2006
2127 May
2006
winter 20 July19 August
2006
2026
August 2006
spring 24 September21
October 2006
2228
October
2006
OMIE
Spanish
system
summer 20 July21 August
2011
2228
August 2011
Fig. 9 Actual and forecasted electricity price of NEM in summer
(January 2006) test week
Fig. 10 Actual and forecasted electricity price of NEM in fall
(May 2006) test week
www.ietdl.org
IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346 343
doi: 10.1049/iet-gtd.2012.0263 & The Institution of Engineering and Technology 2013
It is obvious from (18) that for forecasting the electricity price
at the second test hour (P
674
), the forecasted price at the
previous hour (

P
673
) is used in the LRF since 24-step-ahead
forecasts are intended and the prices of each test day remain
unknown until that day is completely passed. This iterative
procedure is continued for all 7 days in a test week.
The actual and forecasted electricity prices for the summer,
fall, winter and spring test weeks are shown in Figs. 912,
respectively. It is obvious that the electricity price in NEM
experiences higher values in summer and fall. However,
SSA forecasts are accurate in all test weeks. The proposed
forecast algorithm has even followed the large price spikes,
especially in summer and fall test weeks, successfully. This
is due to adopting the proper window length and the correct
selection of the eigentriples for the price series
reconstruction. In fact, the important features and structures
of the price series in each season have been captured.
For numerical evaluations, the MAPE, RMSE and MAE of
all test weeks are presented in Table 3. In this table, the results
of ARIMA, ANN and ARIMA-ANN [11] are also presented
for comparison purposes. The ARIMA and ANN are
representative of classical time series models and CI-based
models, respectively, whereas the ARIMA-ANN is a hybrid
of the two rst methods. According to the reported results,
the ARIMA-ANN has better accuracy than ARIMA and
ANN. Based on the results of Table 3, the SSA algorithm
has outperformed all other methods in terms of MAPE,
RMSE and MAE, with noteworthy differences.
The results presented in Table 3 can be interpreted based on
SSA decomposition results. For this purpose the following
construction ratio (CR) is dened as
CR =

j[
l
j
/

d
i=1
l
i
(19)
where denotes the set of eigentriples used for reconstruction
of the price time series. The small values for this ratio indicate
that more components of the price series are identied as
noise and excluded from the reconstruction. Therefore a
time series with small CR is more challenging to be
predicted accurately. The CR is calculated for summer, fall,
winter and spring test weeks and presented in Table 4. It
should be noted that ratios have been computed from
decomposition of the series used for analysis, and not the
test data. According to Table 4, the smallest values of CR
correspond to summer and fall. Hence, it is expected that
price forecasting for test weeks in summer and fall exhibit
more error. This is conrmed by the results presented in
Table 3. Therefore the calculation of the CR for the price
series may help us to identify how complex the series is for
performing accurate forecasts.
Furthermore, to provide a more general picture on the
performance of the electricity price forecasting by SSA, the
Fig. 12 Actual and forecasted electricity price of NEM in spring
(October 2006) test week
Fig. 11 Actual and forecasted electricity price of NEM in winter
(August 2006) test week
Table 3 Comparison of forecast accuracy using different error measures in NEM for January, May, August and October 2006
Season Error measures ARIMA ANN ARIMA-ANN SSA
summer MAPE% 16.06 15.62 15.57 6.18
RMSE 21.46 18.74 18.73 10.17
MAE 11.09 10.94 10.92 3.57
fall MAPE% 13.61 13.09 13.07 5.96
RMSE 51.61 28.03 28.02 13.41
MAE 7.32 7.18 7.12 3.33
winter MAPE% 14.30 13.85 13.84 4.54
RMSE 14.80 10.06 10.05 3.10
MAE 5.18 5.04 5.03 1.62
spring MAPE% 10.46 10.03 9.98 3.99
RMSE 5.22 4.32 4.22 1.55
MAE 2.80 2.69 2.68 1.04
www.ietdl.org
344 IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346
& The Institution of Engineering and Technology 2013 doi: 10.1049/iet-gtd.2012.0263
results of the price forecasting for the last week of the eight
remaining months in 2006, other than January, May,
August and October, will be presented here. Since Areekul
et al. [11] did not provide forecasts for the last weeks of the
eight remaining months, the SSA forecasts will be
compared with a MLP network and a RBF NNs, developed
and tuned by the authors for the purpose of comparison.
For each test week, the MLP and RBF networks were
trained by the price series of the previous 4 weeks. The
results of the price forecasting by the MLP network, RBF
network and SSA are presented in Table 5, in terms of the
MAPE. It is clear based on the results presented in Table 5
that the MAPE obtained by the SSA is considerably smaller
than the MAPE of the two other methods, for all eight test
weeks.
In addition to the accuracy of the forecasting technique, its
computational burden is also of importance. The main
computational burden of the SSA corresponds to the SVD
step. On a personal computer with 2 GHz CPU and 1 MB
of RAM, the SVD of the NEM price series just took about
1.34 s on average.
4.3 Results of OMIE electricity price forecasting
To provide more insight into electricity price forecasting by
the SSA, the electricity price of the Spanish electricity
market, as one the worlds most well-known power
markets, in August 2011 is forecasted. Currently, in the
regional electricity market between Spain and Portugal,
known as Iberian electricity market (MIBEL), the
day-ahead electricity market is managed by the OMIE-
Spanish Branch [22].
The price data used for performing analysis and the price
series of the test weeks, which should be forecasted by the
SSA in the OMIE are presented in Table 2. Similar
analysis, as those presented in Section 4.1 was carried out
for the electricity price series of the OMIE. The widow
length was set to L = 168 and eigentriples 124 were
selected to reconstruct the price series. The electricity prices
within 2228 of August (1 week) 2011 are then forecasted
using the LRF. Fig. 13 shows the actual and forecasted
electricity price of OMIE in August 2011. The numerical
assessments of SSA forecast in terms of MPE%, RMSE and
MAE, as well as comparisons with the MLP and RBF
networks are presented in Table 6. Based on the results
presented in Fig. 13 and Table 6, the SSA has produced
satisfactory forecasts for day-ahead electricity price in the
Spanish market.
5 Conclusions
This paper proposed a model-free approach for day-ahead
electricity price forecasting using the recently introduced
technique of SSA. The proposed approach does not include
any training stage and therefore the associated problems
such as getting stuck in local minima and overtting, are
avoided. Furthermore, the input selection is also not
required. By forming the trajectory matrix, based on the
lagged version of electricity price time series, we extracted
the so-called eigentriples of the series and identied each as
a trend, harmonic or noise component. After performing
some informative analyses, including singular value
analysis, w-correlation matrix analysis and periodogram and
scatterplot diagrams, the price series was reconstructed
using appropriately chosen eigentriples and forecasted using
the LRF.
Based on the obtained ndings and results in NEM and
Spanish electricity market, it can be inferred that the
proposed approach is capable of extracting the useful
information from the electricity price time series. The SSA
can successfully identify the trend and cyclic components
of the price series and reconstruct it by eliminating noise,
and mostly unpredictable, components. The results of price
forecasting in both Australian and Spanish markets were
satisfactory and comparison with classical time series and
Table 4 CR for electricity price in summer, fall, winter and
spring 2006 in NEM
Month of the test week CR
summer 0.9588
fall 0.9612
winter 0.9820
spring 0.9895
Table 5 MAPE% comparison of forecast of different methods
for the last week of the remaining 8 months of 2006 in NEM
Month of the test week MLP RBF SSA
February 16.52 12.41 6.34
March 12.52 10.08 5.13
April 16.59 8.65 7.47
June 15.13 11.47 5.82
July 16.6 10.29 5.26
September 12.42 7.28 4.90
November 10.24 8.19 4.55
December 14.19 7.05 6.17
Fig. 13 Actual and forecasted electricity price of Spanish
electricity market in August 2011 test week
Table 6 Comparison of forecast accuracy using different error
measures in Spanish electricity market for August 2011
Error measures MLP RBF SSA
MAPE% 3.08 2.11 1.28
RMSE 2.07 1.72 0.91
MAE 1.85 1.56 0.72
www.ietdl.org
IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346 345
doi: 10.1049/iet-gtd.2012.0263 & The Institution of Engineering and Technology 2013
CI-based approaches revealed the superiority of the SSA
algorithm in electricity price forecasting. Hence, the
obtained results and comparisons conrm the potential of
the SSA for electricity price forecasting applications.
6 References
1 Shahidehpour, M., Yamin, H., Li, Z.: Market operations in electric
power systems (Wiley, New York, 2002)
2 Contreras, J., Espinola, R., Nogales, F.J., Conejo, A.J.: ARIMA models
to predict next-day electricity prices, IEEE Trans. Power Syst., 2003,
18, (3), pp. 10141020
3 Amjady, N., Hemmati, M.: Energy price forecasting problems and
proposals for such predictions, IEEE Power Energy Mag., 2006, 4,
(2), pp. 2029
4 Fosso, O.B., Gjelsvik, A., Haugstad, A., Birger, M., Wangensteen, I.:
Generation scheduling in a deregulated system. The Norwegian case,
IEEE Trans. Power Syst., 1999, 14, (1), pp. 7581
5 Nogales, F.J., Contreras, J., Conejo, A.J., Espinola, R.: Forecasting
next-day electricity prices by time series models, IEEE Trans. Power
Syst., 2002, 17, (2), pp. 342348
6 Niimura, T., Nakashima, T.: Deregulated electricity market data
representation by fuzzy regression models, IEEE Trans. Syst. Man
Cybern. C, Appl. Rev., 2001, 31, (3), pp. 320326
7 Hong, Y.Y., Hsiao, C.Y.: Locational marginal price forecasting in
deregulated electric markets using articial intelligence, IEE Proc.
-Gener. Transm. Distrib., 2002, 149, (5), pp. 621626
8 Amjady, N.: Day-ahead price forecasting of electricity markets by a
new fuzzy neural network, IEEE Trans. Power Syst., 2006, 21, (2),
pp. 887896
9 Pindoriya, N.M., Singh, S.N., Singh, S.K.: An adaptive wavelet neural
network-based energy price forecasting in electricity markets, IEEE
Trans. Power Syst., 2008, 23, (8), pp. 14231432
10 Abdollahzade, M., Mahjoob, M., Zaringhalam, R., Miranian, A.:
Locally linear neuro-fuzzy (LLNF) electricity price forecasting in
deregulated power markets, Int. J. Innov. Comput., Inf. Control,
2010, 6, (9), pp. 42034218
11 Areekul, P., Senjyu, T., Toyama, H., Yona, A.: A hybrid ARIMA and
neural network model for short-term price forecasting in deregulated
market, IEEE Trans. Power Syst., 2010, 25, (1), pp. 524530
12 Golyandina, N., Nekrutkin, V., Zhigljavsk, A.: Analysis of time series
structure: SSA and related techniques (Chapman & Hall/CRC, 2001)
13 Hassani, H.: Singular spectrum analysis: methodology and
comparison, J. Data Sci., 2007, 5, pp. 239257
14 Hassani, H., Heravic, S., Zhigljavsky, A.: Forecasting European
industrial production with singular spectrum analysis,
Int. J. Forecast., 2009, 25, pp. 103118
15 Hassani, H., Soo, A., Zhigljavsky, A.: Predicting daily exchange rate
with singular spectrum analysis, Nonlinear Anal., Real World Appl.,
2010, 11, pp. 20232034
16 Sanei, S., Ghodsi, M., Hassani, H.: An adaptive singular spectrum
analysis approach to murmur detection from heart sounds, Med. Eng.
Phys., 2011, 33, (3), pp. 362367
17 Afshar, K., Bigdeli, N.: Data analysis and short term load forecasting in
Iran electricity market using singular spectral analysis (SSA), Energy,
2011, 36, (5), pp. 26202672
18 Conejo, A.J., Plazas, M.A., Espinola, R., Molina, A.B.: Day-ahead
electricity price forecasting using the wavelet transform and ARIMA
models, IEEE Trans. Power Syst., 2005, 20, (2), pp. 10351042
19 Chen, Y., Luh, P.B., Guan, C., et al: Short-term load forecasting:
similar day-based wavelet neural networks, IEEE Trans. Power Syst.,
2010, 25, (1), pp. 322330
20 Garcia-Martos, C., Rodriguez, J., Saanchez, M.J.: Forecasting
electricity prices by extracting dynamic common factors: application
to the Iberian Market, IET Gener. Transm. Distrib., 2012, 6, (1), pp.
1120
21 Australian energy market operator (AEMO): Price and demand data
sets. Available at http://www.aemo.com.au/data/price_demand.html
(visited 25 December 2011)
22 Iberian Market Operator Spanish Branch (OMIE): Available at http
://www.omie.es (visited 18 December 2012)
www.ietdl.org
346 IET Gener. Transm. Distrib., 2013, Vol. 7, Iss. 4, pp. 337346
& The Institution of Engineering and Technology 2013 doi: 10.1049/iet-gtd.2012.0263