Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts
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- Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2020. "Beating the naive: Combining LASSO with naive intraday electricity price forecasts," WORking papers in Management Science (WORMS) WORMS/20/01, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
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- Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020.
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- Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020. "PCA forecast averaging - predicting day-ahead and intraday electricity prices," WORking papers in Management Science (WORMS) WORMS/20/02, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
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- Micha{l} Narajewski & Florian Ziel, 2020. "Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories," Papers 2005.01365, arXiv.org, revised Aug 2020.
- Kuppelwieser, Thomas & Wozabal, David, 2021. "Liquidity costs on intraday power markets: Continuous trading versus auctions," Energy Policy, Elsevier, vol. 154(C).
- Grzegorz Marcjasz, 2020. "Forecasting Electricity Prices Using Deep Neural Networks: A Robust Hyper-Parameter Selection Scheme," Energies, MDPI, vol. 13(18), pages 1-18, September.
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- Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron, 2021. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO," WORking papers in Management Science (WORMS) WORMS/21/04, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Kadir Özen & Dilem Yıldırım, 2021. "Application of Bagging in Day-Ahead Electricity Price Forecasting and Factor Augmentation," ERC Working Papers 2101, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
- Silvia Golia & Luigi Grossi & Matteo Pelagatti, 2022. "Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices," Forecasting, MDPI, vol. 5(1), pages 1-21, December.
- Yuriy Bilan & Serhiy Kozmenko & Alex Plastun, 2022. "Price Forecasting in Energy Market," Energies, MDPI, vol. 15(24), pages 1-6, December.
- Grzegorz Marcjasz & Jesus Lago & Rafa{l} Weron, 2020. "Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs," Papers 2008.08006, arXiv.org.
- Narajewski, Michał & Ziel, Florian, 2020. "Ensemble forecasting for intraday electricity prices: Simulating trajectories," Applied Energy, Elsevier, vol. 279(C).
- Philip Beran & Arne Vogler, 2021. "Multi-Day-Ahead Electricity Price Forecasting: A Comparison of fundamental, econometric and hybrid Models," EWL Working Papers 2102, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2021.
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More about this item
Keywords
intraday electricity market; ID3-Price index; price forecasting; variable selection; fundamental variables; LASSO; averaging forecasts;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
Statistics
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