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While the field of electricity price forecasting has benefited from plenty of contributions in the last two decades, it arguably lacks a rigorous approach to evaluating new predictive algorithms. The latter are often compared using unique,…

应用统计 · 统计学 2022-04-07 Jesus Lago , Grzegorz Marcjasz , Bart De Schutter , Rafał Weron

Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and…

统计金融 · 定量金融 2025-07-23 Katarzyna Maciejowska , Bartosz Uniejewski , Rafał Weron

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…

统计金融 · 定量金融 2025-11-11 Ciaran O'Connor , Mohamed Bahloul , Steven Prestwich , Andrea Visentin

Energy is a critical driver of modern economic systems. Accurate energy price forecasting plays an important role in supporting decision-making at various levels, from operational purchasing decisions at individual business organizations to…

机器学习 · 计算机科学 2024-11-07 Alexandru-Victor Andrei , Georg Velev , Filip-Mihai Toma , Daniel Traian Pele , Stefan Lessmann

Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we…

统计金融 · 定量金融 2017-12-08 Jesus Lago , Fjo De Ridder , Peter Vrancx , Bart De Schutter

Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…

信号处理 · 电气工程与系统科学 2022-11-18 Salih Gunduz , Umut Ugurlu , Ilkay Oksuz

Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…

系统与控制 · 电气工程与系统科学 2026-05-19 Arnaud Verstraeten , Maria Margarida Mascarenhas , Hussain Kazmi

The accurate prediction of short-term electricity prices is vital for effective trading strategies, power plant scheduling, profit maximisation and efficient system operation. However, uncertainties in supply and demand make such…

计量经济学 · 经济学 2023-04-20 Mira Watermeyer , Thomas Möbius , Oliver Grothe , Felix Müsgens

Purpose: Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity…

应用统计 · 统计学 2020-05-19 Christof Naumzik , Stefan Feuerriegel

The availability of historical data related to electricity day-ahead prices and to the underlying price formation process is limited. In addition, the electricity market in Europe is facing a rapid transformation, which limits the…

应用统计 · 统计学 2023-06-27 Raffaele Sgarlato

Electricity price forecasting supports decision-making in energy markets and asset operation. Probabilistic forecasts are increasingly adopted to explicitly quantify uncertainty, typically issued as quantile predictions or ensembles of the…

统计金融 · 定量金融 2026-04-22 Simon Hirsch , Florian Ziel

Accurate day-ahead electricity price forecasting is essential for residential welfare, yet current methods often fall short in forecast accuracy. We observe that commonly used time series models struggle to utilize the prior correlation…

机器学习 · 计算机科学 2024-08-20 Linian Wang , Jianghong Liu , Huibin Zhang , Leye Wang

Short-term electricity markets are becoming more relevant due to less-predictable renewable energy sources, attracting considerable attention from the industry. The balancing market is the closest to real-time and the most volatile among…

机器学习 · 计算机科学 2024-02-14 Ciaran O'Connor , Joseph Collins , Steven Prestwich , Andrea Visentin

Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…

机器学习 · 计算机科学 2022-10-19 Philipp Giese

Advances in deep learning systems have allowed large models to match or surpass human accuracy on a number of skills such as image classification, basic programming, and standardized test taking. As the performance of the most capable…

机器学习 · 计算机科学 2024-06-10 Sarah Pratt , Seth Blumberg , Pietro Kreitlon Carolino , Meredith Ringel Morris

Management and efficient operations in critical infrastructure such as Smart Grids take huge advantage of accurate power load forecasting which, due to its nonlinear nature, remains a challenging task. Recently, deep learning has emerged in…

机器学习 · 计算机科学 2019-07-23 Alberto Gasparin , Slobodan Lukovic , Cesare Alippi

The interdependence of electricity and natural gas markets is becoming a major topic in energy research. Integrated energy models are used to assist decision-making for businesses and policymakers addressing challenges of energy transition…

综合金融 · 定量金融 2020-09-11 Iegor Riepin , Thomas Möbius , Felix Müsgens

Precise day-ahead forecasts for electricity prices are crucial to ensure efficient portfolio management, support strategic decision-making for power plant operations, enable efficient battery storage optimization, and facilitate demand…

机器学习 · 计算机科学 2026-03-31 Btissame El Mahtout , Florian Ziel

While deep learning gradually penetrates operational planning, its inherent prediction errors may significantly affect electricity prices. This letter examines how prediction errors propagate into electricity prices, revealing notable…

机器学习 · 计算机科学 2023-11-14 Vladimir Dvorkin , Ferdinando Fioretto

The increasing penetration level of energy generation from renewable sources is demanding for more accurate and reliable forecasting tools to support classic power grid operations (e.g., unit commitment, electricity market clearing or…

机器学习 · 计算机科学 2020-07-17 Michela Moschella , Mauro Tucci , Emanuele Crisostomi , Alessandro Betti
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