Electricity price forecasting with neural networks on EPEX order books

DOI10.1080/1350486X.2020.1805337MaRDI QIDQ5149266zbMATH OpenFDO

Authors Simon Schnürch, Andreas Wagner

Publication date 8 February 2021

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1906.06248

zbMATH Keywords

electricity marketforecastingmachine learningneural networksrandom forestsrenewablesspot price

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Abstract: This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also fundamental market data like renewable infeed and expected demand. Appropriate feature extraction for the order book data is developed. Using cross-validation to optimise hyperparameters, neural networks and random forests are proposed and compared to statistical reference models. The machine learning models outperform traditional approaches.

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Cites work

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• Random forests
• The elements of statistical learning. Data mining, inference, and prediction

Cited in

(6)

• Forecasting energy commodity prices using neural networks
• scientific article; zbMATH DE number 1945846 (Why is no real title available?)
• Prognosis of EPEX SPOT electricity prices using artificial neural networks
• scientific article; zbMATH DE number 7504942 (Why is no real title available?)
• Time series forecasting based on seasonality modeling and its application to electricity price forecasting
• Neural modeling of prices on the day-ahead market at the Polish Electricity Exchange supported by an evolutionary algorithm and inspired by quantum computing

Describes a project that uses

Uses Software

• RMSprop
• Adam

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