2024/03/08 by Daniel Nickelsen, Nickelsen, Daniel, Gernot Müller +1 · 3 citations
Energy · Engineering · #Applications (stat.AP) #Energy Efficiency and Management #Energy Load and Power Forecasting #FOS: Computer and information sciences #G.3 #I.2.6 #I.6.3 #I.6.5 #Machine Learning (cs.LG)
paper · pdf · doi:10.48550/arxiv.2403.05441
openalex publication_date 2024/03/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We address the need for forecasting methodologies that handle large uncertainties in electricity prices for continuous intraday markets by incorporating parameter uncertainty and using a broad set of covariables. This study presents the first Bayesian forecasting of electricity prices traded on the German intraday market. Endogenous and exogenous covariables are handled via Orthogonal Matching Pursuit (OMP) and regularising priors. The target variable is the IDFull price index, with forecasts given as posterior predictive distributions. Validation uses the highly volatile 2022 electricity prices, which have seldom been studied. As a benchmark, we use all intraday transactions at the time of forecast to compute a live IDFull value. According to market efficiency, it should not be possible to improve on this last-price benchmark. However, we observe significant improvements in point measures and probability scores, including an average reduction of 5.9 % in absolute errors and an average increase of 1.7 % in accuracy when forecasting whether the IDFull exceeds the day-ahead price. Finally, we challenge the use of LASSO in electricity price forecasting, showing that OMP results in superior performance, specifically an average reduction of 22.7 % in absolute error and 20.2 % in the continuous ranked probability score.