Title: Relevance of combining ARFIMA and artificial intelligence-based models: An empirical evidence from Scandinavian market
Authors: Najeh Chaabane - University of Sousse-ISFF (Tunisia)
Abstract: Electricity prices involve many features comparably with those in financial markets. In the framework of competitive electricity market, forecasting such prices has become a real challenge for all market participants. Therefore, the choice of the forecasting model has become even more important. ARFIMA and Artificial Intelligence-Based Models are proposed. Such models can deal simultaneously with long memory behavior and non-linearity existing in electricity spot prices. Data from Scandinavian market are used to synthesize and examine the strength of the proposed models.