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Ensemble forecasting for intraday electricity prices: Simulating trajectories

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  1. Finnah, Benedikt & Gönsch, Jochen & Ziel, Florian, 2022. "Integrated day-ahead and intraday self-schedule bidding for energy storage systems using approximate dynamic programming," European Journal of Operational Research, Elsevier, vol. 301(2), pages 726-746.
  2. Michał Narajewski, 2022. "Probabilistic Forecasting of German Electricity Imbalance Prices," Energies, MDPI, vol. 15(14), pages 1-17, July.
  3. Lago, Jesus & Marcjasz, Grzegorz & De Schutter, Bart & Weron, Rafał, 2021. "Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark," Applied Energy, Elsevier, vol. 293(C).
  4. Micha{l} Narajewski & Florian Ziel, 2021. "Optimal bidding in hourly and quarter-hourly electricity price auctions: trading large volumes of power with market impact and transaction costs," Papers 2104.14204, arXiv.org, revised Feb 2022.
  5. Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
  6. Bartosz Uniejewski, 2023. "Electricity price forecasting with Smoothing Quantile Regression Averaging: Quantifying economic benefits of probabilistic forecasts," Papers 2302.00411, arXiv.org, revised Jan 2024.
  7. Christopher Kath & Florian Ziel, 2020. "Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories," Papers 2009.07892, arXiv.org, revised Oct 2020.
  8. Ziel, Florian, 2022. "M5 competition uncertainty: Overdispersion, distributional forecasting, GAMLSS, and beyond," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1546-1554.
  9. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  10. Kuppelwieser, Thomas & Wozabal, David, 2021. "Liquidity costs on intraday power markets: Continuous trading versus auctions," Energy Policy, Elsevier, vol. 154(C).
  11. Li, Wei & Paraschiv, Florentina, 2022. "Modelling the evolution of wind and solar power infeed forecasts," Journal of Commodity Markets, Elsevier, vol. 25(C).
  12. Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian, 2023. "Distributional neural networks for electricity price forecasting," Energy Economics, Elsevier, vol. 125(C).
  13. Nadja Klein & Michael Stanley Smith & David J. Nott, 2023. "Deep distributional time series models and the probabilistic forecasting of intraday electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 493-511, June.
  14. Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał, 2022. "Trading on short-term path forecasts of intraday electricity prices," Energy Economics, Elsevier, vol. 112(C).
  15. Narajewski, Michał & Ziel, Florian, 2022. "Optimal bidding in hourly and quarter-hourly electricity price auctions: Trading large volumes of power with market impact and transaction costs," Energy Economics, Elsevier, vol. 110(C).
  16. Rainer Baule & Michael Naumann, 2021. "Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market," Energies, MDPI, vol. 14(22), pages 1-24, November.
  17. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
  18. Wang, Yi & Von Krannichfeldt, Leandro & Zufferey, Thierry & Toubeau, Jean-François, 2021. "Short-term nodal voltage forecasting for power distribution grids: An ensemble learning approach," Applied Energy, Elsevier, vol. 304(C).
  19. Demir, Sumeyra & Stappers, Bart & Kok, Koen & Paterakis, Nikolaos G., 2022. "Statistical arbitrage trading on the intraday market using the asynchronous advantage actor–critic method," Applied Energy, Elsevier, vol. 314(C).
  20. Nametala, Ciniro Aparecido Leite & Faria, Wandry Rodrigues & Lage, Guilherme Guimarães & Pereira, Benvindo Rodrigues, 2023. "Analysis of hourly price granularity implementation in the Brazilian deregulated electricity contracting environment," Utilities Policy, Elsevier, vol. 81(C).
  21. Nadja Klein & Michael Stanley Smith & David J. Nott, 2020. "Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices," Papers 2010.01844, arXiv.org, revised May 2021.
  22. Micha{l} Narajewski, 2022. "Probabilistic forecasting of German electricity imbalance prices," Papers 2205.11439, arXiv.org.
  23. Russo, Marianna & Kraft, Emil & Bertsch, Valentin & Keles, Dogan, 2022. "Short-term risk management of electricity retailers under rising shares of decentralized solar generation," Energy Economics, Elsevier, vol. 109(C).
  24. 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.
  25. Cramer, Eike & Witthaut, Dirk & Mitsos, Alexander & Dahmen, Manuel, 2023. "Multivariate probabilistic forecasting of intraday electricity prices using normalizing flows," Applied Energy, Elsevier, vol. 346(C).
  26. Simon Hirsch & Florian Ziel, 2023. "Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects," Papers 2306.13419, arXiv.org.
  27. Arne Vogler & Florian Ziel, 2021. "Event-Based Evaluation of Electricity Price Ensemble Forecasts," Forecasting, MDPI, vol. 4(1), pages 1-21, December.
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