Research On Electricity Market Price Forecasting Based On ARIMA Modified Model

China's electric power industry has undergone more than twenty years of reform,and is gradually having the necessary conditions for the development of the power financial market.In some areas,a power market and power trading platform has been established,creating a good basic environment for China's electric power product transaction.Referring to the development path of power industry in developed countries,China's power market operation and the establishment of power financial market are the inevitable trend of development in the process of power industry reform.Based on the current situation of China's electricity market reform and development,this paper studies the development law of power market at home and abroad,and puts forward the necessity and feasibility of building China's power financial market and developing power spot and electricity futures trading.Secondly,the related concepts of time series and four forecasting models of time series are introduced,and the stability test and processing methods of time series are introduced.This research mainly focuses on the electricity,financial market,spot price and futures price,analyzes the historical data of price,constructs the time series model and forecasts the future development.The accuracy and applicability of the ARIMA model in forecasting the spot price of electricity are studied.By fitting and comparing the actual value with the predicted value,we get the right electricity spot price prediction model.Considering the electricity futures prices by many aspects especially affected by electricity spot price,in the establishment of ARIMA model prediction accuracy is not high,a linear regression equation by the spot price of electricity,and the use of the modified AR model of futures price time series disturbance,can achieve good prediction effect.In this paper,the study of electricity spot and futures prices,through the construction of the model for price prediction,the error is small,and has a certain practical value.