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From electricity prices to profits: multidimensional probabilistic forecasting for BESS trading

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  • Tomasz Weron
  • Katarzyna Maciejowska

Abstract

This article examines various methods of constructingmultidimensional probabilistic forecasts of electricity prices. Building on the Multiple Split (MS) method, it incorporates forecast averaging across estimation windows of different lengths and compares its performance with that of other, well-established methods. The research demonstrates that the ensemble representation of the price distribution is particularly useful in battery energy storage system (BESS) management. It enables the direct construction of probabilistic forecasts of daily profits. These forecasts can be used to determine optimal charging and discharging hours, as well as to support risk management decisions. The methods are evaluated using data from the German and Spanish day-ahead electricity markets from 2021-2024. The results indicate that theMS method with averaging (MS-ave) generally outperforms the other considered approaches in terms of Prediction Interval Coverage Probability (PICP), the Continuous Ranked Probability Score (CRPS) and the Energy Score (ES). Moreover, it is superior in supporting BESS trading strategies, particularly in case of non-zero operational costs.

Suggested Citation

  • Tomasz Weron & Katarzyna Maciejowska, 2026. "From electricity prices to profits: multidimensional probabilistic forecasting for BESS trading," Papers 2608.26122, arXiv.org.
    • Handle: RePEc:arx:papers:2608.26122
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    File URL: https://arxiv.org/pdf/2608.26122
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