Short-term load forecasting (STLF) plays a decisive role in electric power system operation and planning. Accurate load forecasting not only reduces the generation costs of power systems, but also serves to maximize profit for participants in electricity markets. In recent years, power markets have grown more deregulated and competitive, adding to the complexity and uncertainties of load, and making it more difficult for conventional techniques to accurately forecast the load. To improve the accuracy of load forecasting, this paper suggests a hybrid method, called Gray-Fuzzy-Markov Chain Method (GFMCM), comprising three stages. In the first stage, daily load is forecasted by Gray model, with its training deviations classified, in a second stage, by fuzzy-set theory, and finally, fed into Markov chain model to predict future relative errors that might be supplied by the Gray model. The proposed approach has been verified by the historical data of power consumption in Ontario, PJM and Iranian electricity markets. The obtained forecasts by GFMCM proved to have better prediction properties compared to the other forecasting techniques, such as Gray models, specifically GM(1,1) and GM(1,2), ARIMA time series, wavelet-ARIMA and multi-layer perceptron (MLP) neural network.

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