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We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…

Mathematical Finance · Quantitative Finance 2017-04-21 Clemence Alasseur , Olivier Feron

Pattern similarity-based methods are widely used in classification and regression problems. Repeated, similar-shaped cycles observed in seasonal time series encourage to apply these methods for forecasting. In this paper we use the pattern…

Machine Learning · Computer Science 2020-04-29 Grzegorz Dudek , Paweł Pełka

While substantial advances are observed in probabilistic forecasting for power system operation and electricity market applications, most approaches are still developed in a univariate framework. This prevents from informing about the…

Applications · Statistics 2017-08-10 Faranak Golestaneh , Pierre Pinson , Rasoul Azizipanah-Abarghooee , Hoay Beng Gooi

This work introduces the use of multivariate global sensitivity analysis for assessing the impact of uncertain electric machine design parameters on efficiency maps and profiles. Contrary to the common approach of applying variance-based…

Computational Engineering, Finance, and Science · Computer Science 2026-04-29 Aylar Partovizadeh , Sebastian Schöps , Dimitrios Loukrezis

Accurate prediction of electricity day-ahead prices is essential in competitive electricity markets. Although stationary electricity-price forecasting techniques have received considerable attention, research on non-stationary methods is…

Machine Learning · Computer Science 2024-05-14 Antonio Malpica-Morales , Miguel A. Duran-Olivencia , Serafim Kalliadasis

The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…

Applications · Statistics 2021-02-02 Florian Ziel , Rick Steinert , Sven Husmann

Accurate load forecasting is critical for reliable and efficient planning and operation of electric power grids. In this paper, we propose a unifying deep learning framework for load forecasting, which includes time-varying feature…

Machine Learning · Computer Science 2023-05-10 Jing Xiong , Yu Zhang

Long-term time series forecasting (LTSF) offers broad utility in practical settings like energy consumption and weather prediction. Accurately predicting long-term changes, however, is demanding due to the intricate temporal patterns and…

Machine Learning · Computer Science 2025-05-19 Boshi Gao , Qingjian Ni , Fanbo Ju , Yu Chen , Ziqi Zhao

In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We…

Statistical Finance · Quantitative Finance 2019-10-01 Michał Narajewski , Florian Ziel

In recent years, machine learning has established itself as a powerful tool for high-resolution weather forecasting. While most current machine learning models focus on deterministic forecasts, accurately capturing the uncertainty in the…

Machine Learning · Computer Science 2024-10-29 Joel Oskarsson , Tomas Landelius , Marc Peter Deisenroth , Fredrik Lindsten

There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…

Statistical Finance · Quantitative Finance 2024-07-01 Andrei Renatovich Batyrov

Hourly consumption from multiple providers displays pronounced intra-day, intra-week, and annual seasonalities, as well as strong cross-sectional correlations. We introduce a novel approach for forecasting high-dimensional U.S. electricity…

Applications · Statistics 2026-04-15 Mattia Banin , Matteo Barigozzi , Luca Trapin

Electricity price forecasting (EPF) plays a major role for electricity companies as a fundamental entry for trading decisions or energy management operations. As electricity can not be stored, electricity prices are highly volatile which…

Applications · Statistics 2024-05-27 Grégoire Dutot , Margaux Zaffran , Olivier Féron , Yannig Goude

This paper conducts research on the short-term electric load forecast method under the background of big data. It builds a new electric load forecast model based on Deep Auto-Encoder Networks (DAENs), which takes into account…

Signal Processing · Electrical Eng. & Systems 2019-07-23 Xin Shi

Electrified heating systems with thermal storage, such as electric boilers and heat pumps, represent a major source of demand-side flexibility. Under current electricity market designs, balance responsible parties (BRPs) operating such…

Systems and Control · Electrical Eng. & Systems 2026-02-20 Alessandro Quattrociocchi , Manisha Talukdar , Pere Izquierdo Gómez , Tomislav Dragicevic

Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights of market structure models with extensive and modern…

Trading and Market Microstructure · Quantitative Finance 2016-10-18 Florian Ziel , Rick Steinert

Electricity price forecasting has become a critical tool for decision-making in energy markets, particularly as the increasing penetration of renewable energy introduces greater volatility and uncertainty. Historically, research in this…

Statistical Finance · Quantitative Finance 2025-11-11 Ciaran O'Connor , Mohamed Bahloul , Steven Prestwich , Andrea Visentin

Short-term industrial enterprises power system forecasting is an important issue for both load control and machine protection. Scientists focus on load forecasting but ignore other valuable electric-meters which should provide guidance of…

Machine Learning · Computer Science 2024-06-04 Xiaoqiao Chen

Accurate electricity load forecasting is essential for grid stability, resource optimization, and renewable energy integration. While transformer-based deep learning models like TimeGPT have gained traction in time-series forecasting, their…

Machine Learning · Computer Science 2025-05-19 Millend Roy , Vladimir Pyltsov , Yinbo Hu

Demand forecasting in competitive, uncertain business environments requires models that can integrate multiple evaluation perspectives rather than being restricted to hyperparameter optimization based on a single metric. This traditional…

Machine Learning · Computer Science 2025-12-23 Adolfo González , Víctor Parada
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