Research on Cointegration Relationship Between the Electric Spot Markets and Future Markets

Abstract

The electricity market is a complex nonlinear system, which not only follows the basic rules of market economy, but also is affected by the power system. This paper considers the non-stationarity of electricity futures and spot electricity price, and puts forward a forecasting model of futures electricity price by means of a cointegration theory to carry out an empirical research on the dynamic relationship between the electric spot markets and future markets. The research results show that there is a long-term equilibrium cointegration relationship between the spot electricity price and futures electricity price, and the combination of long-term relationship and short-term dynamic in time series of electricity price is realized, and a higher forecasting accuracy is obtained.