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Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark

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Cited by:

  1. Özen, Kadir & Yıldırım, Dilem, 2021. "Application of bagging in day-ahead electricity price forecasting and factor augmentation," Energy Economics, Elsevier, vol. 103(C).
  2. Stylianos Loizidis & Georgios Konstantinidis & Spyros Theocharides & Andreas Kyprianou & George E. Georghiou, 2023. "Electricity Day-Ahead Market Conditions and Their Effect on the Different Supervised Algorithms for Market Price Forecasting," Energies, MDPI, vol. 16(12), pages 1-29, June.
  3. Nikola Mišnić & Bojan Pejović & Jelena Jovović & Sunčica Rogić & Vladimir Đurišić, 2022. "The Economic Viability of PV Power Plant Based on a Neural Network Model of Electricity Prices Forecast: A Case of a Developing Market," Energies, MDPI, vol. 15(17), pages 1-14, August.
  4. Daniel Foronda-Pascual & Andrés M. Alonso, 2023. "Prediction of Matching Prices in Electricity Markets through Curve Representation," Energies, MDPI, vol. 16(23), pages 1-20, November.
  5. Jiang, Ping & Nie, Ying & Wang, Jianzhou & Huang, Xiaojia, 2023. "Multivariable short-term electricity price forecasting using artificial intelligence and multi-input multi-output scheme," Energy Economics, Elsevier, vol. 117(C).
  6. Oliver Grothe & Fabian Kachele & Fabian Kruger, 2022. "From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting," Papers 2204.10154, arXiv.org.
  7. Michał Narajewski, 2022. "Probabilistic Forecasting of German Electricity Imbalance Prices," Energies, MDPI, vol. 15(14), pages 1-17, July.
  8. Olivares, Kin G. & Challu, Cristian & Marcjasz, Grzegorz & Weron, Rafał & Dubrawski, Artur, 2023. "Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx," International Journal of Forecasting, Elsevier, vol. 39(2), pages 884-900.
  9. Yin, Linfei & Qiu, Yao, 2022. "Neural network dynamic differential control for long-term price guidance mechanism of flexible energy service providers," Energy, Elsevier, vol. 255(C).
  10. Juan M. Lujano-Rojas & Rodolfo Dufo-López & Jesús Sergio Artal-Sevil & Eduardo García-Paricio, 2023. "Searching for Promisingly Trained Artificial Neural Networks," Forecasting, MDPI, vol. 5(3), pages 1-26, September.
  11. Vladimir Franki & Darin Majnarić & Alfredo Višković, 2023. "A Comprehensive Review of Artificial Intelligence (AI) Companies in the Power Sector," Energies, MDPI, vol. 16(3), pages 1-35, January.
  12. Daniel Manfre Jaimes & Manuel Zamudio López & Hamidreza Zareipour & Mike Quashie, 2023. "A Hybrid Model for Multi-Day-Ahead Electricity Price Forecasting considering Price Spikes," Forecasting, MDPI, vol. 5(3), pages 1-23, July.
  13. Skrzypczak, Dawid & Trzaska, Krzysztof & Mikula, Katarzyna & Gil, Filip & Izydorczyk, Grzegorz & Mironiuk, Małgorzata & Polomska, Xymena & Moustakas, Konstantinos & Witek-Krowiak, Anna & Chojnacka, Ka, 2023. "Conversion of anaerobic digestates from biogas plants: Laboratory fertilizer formulation, scale-up and demonstration of applicative properties on plants," Renewable Energy, Elsevier, vol. 203(C), pages 506-517.
  14. Jozef Barunik & Lubos Hanus, 2023. "Learning Probability Distributions of Day-Ahead Electricity Prices," Papers 2310.02867, arXiv.org, revised Oct 2023.
  15. Tschora, Léonard & Pierre, Erwan & Plantevit, Marc & Robardet, Céline, 2022. "Electricity price forecasting on the day-ahead market using machine learning," Applied Energy, Elsevier, vol. 313(C).
  16. Dimitrios Kontogiannis & Dimitrios Bargiotas & Aspassia Daskalopulu & Athanasios Ioannis Arvanitidis & Lefteri H. Tsoukalas, 2022. "Error Compensation Enhanced Day-Ahead Electricity Price Forecasting," Energies, MDPI, vol. 15(4), pages 1-21, February.
  17. 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.
  18. Jethro Browell & Ciaran Gilbert, 2022. "Predicting Electricity Imbalance Prices and Volumes: Capabilities and Opportunities," Energies, MDPI, vol. 15(10), pages 1-7, May.
  19. Mira Watermeyer & Thomas Mobius & Oliver Grothe & Felix Musgens, 2023. "A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling," Papers 2304.09336, arXiv.org.
  20. Haokun Su & Xiangang Peng & Hanyu Liu & Huan Quan & Kaitong Wu & Zhiwen Chen, 2022. "Multi-Step-Ahead Electricity Price Forecasting Based on Temporal Graph Convolutional Network," Mathematics, MDPI, vol. 10(14), pages 1-16, July.
  21. Hakan Acaroğlu & Fausto Pedro García Márquez, 2021. "Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy," Energies, MDPI, vol. 14(22), pages 1-23, November.
  22. Eric Cebekhulu & Adeiza James Onumanyi & Sherrin John Isaac, 2022. "Performance Analysis of Machine Learning Algorithms for Energy Demand–Supply Prediction in Smart Grids," Sustainability, MDPI, vol. 14(5), pages 1-26, February.
  23. Léonard Tschora & Erwan Pierre & Marc Plantevit & Céline Robardet, 2022. "Electricity price forecasting on the day-ahead market using machine learning," Post-Print hal-03621974, HAL.
  24. Shiva Zamani & Alireza Moslemi Haghighi & Hamid Arian, 2023. "Temporal Volatility Surface Projection: Parametric Surface Projection Method for Derivatives Portfolio Risk Management," Papers 2311.14985, arXiv.org.
  25. Tomasz Zema & Adam Sulich, 2022. "Models of Electricity Price Forecasting: Bibliometric Research," Energies, MDPI, vol. 15(15), pages 1-18, August.
  26. Weronika Nitka & Rafał Weron, 2023. "Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 33(3), pages 105-118.
  27. Grzegorz Dudek, 2022. "A Comprehensive Study of Random Forest for Short-Term Load Forecasting," Energies, MDPI, vol. 15(20), pages 1-19, October.
  28. Krishna Prakash N. & Jai Govind Singh, 2023. "Electricity price forecasting using hybrid deep learned networks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1750-1771, November.
  29. Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian, 2023. "Distributional neural networks for electricity price forecasting," Energy Economics, Elsevier, vol. 125(C).
  30. Ivan Borisov Todorov & Fernando Sánchez Lasheras, 2022. "Forecasting Applied to the Electricity, Energy, Gas and Oil Industries: A Systematic Review," Mathematics, MDPI, vol. 10(21), pages 1-15, October.
  31. Stefano Frizzo Stefenon & Laio Oriel Seman & Viviana Cocco Mariani & Leandro dos Santos Coelho, 2023. "Aggregating Prophet and Seasonal Trend Decomposition for Time Series Forecasting of Italian Electricity Spot Prices," Energies, MDPI, vol. 16(3), pages 1-18, January.
  32. Grothe, Oliver & Kächele, Fabian & Krüger, Fabian, 2023. "From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting," Energy Economics, Elsevier, vol. 120(C).
  33. Julia Nasiadka & Weronika Nitka & Rafa{l} Weron, 2022. "Calibration window selection based on change-point detection for forecasting electricity prices," Papers 2204.00872, arXiv.org.
  34. Huixin Liu & Xiaodong Shen & Xisheng Tang & Junyong Liu, 2023. "Day-Ahead Electricity Price Probabilistic Forecasting Based on SHAP Feature Selection and LSTNet Quantile Regression," Energies, MDPI, vol. 16(13), pages 1-17, July.
  35. Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał, 2022. "Trading on short-term path forecasts of intraday electricity prices," Energy Economics, Elsevier, vol. 112(C).
  36. Viktor Koval & Viktoriia Khaustova & Stella Lippolis & Olha Ilyash & Tetiana Salashenko & Piotr Olczak, 2023. "Fundamental Shifts in the EU’s Electric Power Sector Development: LMDI Decomposition Analysis," Energies, MDPI, vol. 16(14), pages 1-22, July.
  37. Nemanja Mišljenović & Matej Žnidarec & Goran Knežević & Damir Šljivac & Andreas Sumper, 2023. "A Review of Energy Management Systems and Organizational Structures of Prosumers," Energies, MDPI, vol. 16(7), pages 1-32, March.
  38. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
  39. Kılıç Depren, Serpil & Kartal, Mustafa Tevfik & Ertuğrul, Hasan Murat & Depren, Özer, 2022. "The role of data frequency and method selection in electricity price estimation: Comparative evidence from Turkey in pre-pandemic and pandemic periods," Renewable Energy, Elsevier, vol. 186(C), pages 217-225.
  40. Edna S. Solano & Carolina M. Affonso, 2023. "Solar Irradiation Forecasting Using Ensemble Voting Based on Machine Learning Algorithms," Sustainability, MDPI, vol. 15(10), pages 1-19, May.
  41. Caputo, Antonio C. & Federici, Alessandro & Pelagagge, Pacifico M. & Salini, Paolo, 2023. "Offshore wind power system economic evaluation framework under aleatory and epistemic uncertainty," Applied Energy, Elsevier, vol. 350(C).
  42. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
  43. Galarneau-Vincent, Rémi & Gauthier, Geneviève & Godin, Frédéric, 2023. "Foreseeing the worst: Forecasting electricity DART spikes," Energy Economics, Elsevier, vol. 119(C).
  44. Ciaran O'Connor & Joseph Collins & Steven Prestwich & Andrea Visentin, 2024. "Electricity Price Forecasting in the Irish Balancing Market," Papers 2402.06714, arXiv.org.
  45. Dorel Mihai Paraschiv & Narciz Balasoiu & Souhir Ben-Amor & Raul Cristian Bag, 2023. "Hybridising Neurofuzzy Model the Seasonal Autoregressive Models for Electricity Price Forecasting on Germany’s Spot Market," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 25(63), pages 463-463, April.
  46. Wagner, Andreas & Ramentol, Enislay & Schirra, Florian & Michaeli, Hendrik, 2022. "Short- and long-term forecasting of electricity prices using embedding of calendar information in neural networks," Journal of Commodity Markets, Elsevier, vol. 28(C).
  47. Sheybanivaziri, Samaneh & Le Dréau, Jérôme & Kazmi, Hussain, 2024. "Forecasting price spikes in day-ahead electricity markets: techniques, challenges, and the road ahead," Discussion Papers 2024/1, Norwegian School of Economics, Department of Business and Management Science.
  48. Konstantinos Plakas & Ioannis Karampinis & Panayiotis Alefragis & Alexios Birbas & Michael Birbas & Alex Papalexopoulos, 2023. "A Predictive Fuzzy Logic Model for Forecasting Electricity Day-Ahead Market Prices for Scheduling Industrial Applications," Energies, MDPI, vol. 16(10), pages 1-21, May.
  49. Demir, Sumeyra & Mincev, Krystof & Kok, Koen & Paterakis, Nikolaos G., 2021. "Data augmentation for time series regression: Applying transformations, autoencoders and adversarial networks to electricity price forecasting," Applied Energy, Elsevier, vol. 304(C).
  50. Stephen Haben & Julien Caudron & Jake Verma, 2021. "Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain," Forecasting, MDPI, vol. 3(3), pages 1-37, August.
  51. 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).
  52. Roman V. Klyuev & Irbek D. Morgoev & Angelika D. Morgoeva & Oksana A. Gavrina & Nikita V. Martyushev & Egor A. Efremenkov & Qi Mengxu, 2022. "Methods of Forecasting Electric Energy Consumption: A Literature Review," Energies, MDPI, vol. 15(23), pages 1-33, November.
  53. Godin, Frédéric & Ibrahim, Zinatu, 2021. "An analysis of electricity congestion price patterns in North America," Energy Economics, Elsevier, vol. 102(C).
  54. Sabbar Dahham Sabbar & Hani Amer Musa & Abdul Rahman Kadir & Mursalim Nohong & Arifuddin Manan & Musran Munizu & Anas Iswanto Anwar, 2023. "The Role of Green Marketing and Promotion of Green Energy Bonds to Reduce Carbon Emissions in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 73-82, September.
  55. Joanna Janczura & Andrzej Puć, 2023. "ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation," Energies, MDPI, vol. 16(2), pages 1-28, January.
  56. Lehna, Malte & Scheller, Fabian & Herwartz, Helmut, 2022. "Forecasting day-ahead electricity prices: A comparison of time series and neural network models taking external regressors into account," Energy Economics, Elsevier, vol. 106(C).
  57. Aamer A. Shah & Almani A. Aftab & Xueshan Han & Mazhar Hussain Baloch & Mohamed Shaik Honnurvali & Sohaib Tahir Chauhdary, 2023. "Prediction Error-Based Power Forecasting of Wind Energy System Using Hybrid WT–ROPSO–NARMAX Model," Energies, MDPI, vol. 16(7), pages 1-15, April.
  58. Firuz Kamalov & Hana Sulieman & Sherif Moussa & Jorge Avante Reyes & Murodbek Safaraliev, 2024. "Powering Electricity Forecasting with Transfer Learning," Energies, MDPI, vol. 17(3), pages 1-13, January.
  59. Micha{l} Narajewski, 2022. "Probabilistic forecasting of German electricity imbalance prices," Papers 2205.11439, arXiv.org.
  60. Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Rafał Weron, 2021. "Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO," Energies, MDPI, vol. 14(11), pages 1-17, June.
  61. Fang Guo & Shangyun Deng & Weijia Zheng & An Wen & Jinfeng Du & Guangshan Huang & Ruiyang Wang, 2022. "Short-Term Electricity Price Forecasting Based on the Two-Layer VMD Decomposition Technique and SSA-LSTM," Energies, MDPI, vol. 15(22), pages 1-20, November.
  62. Manuel Zamudio López & Hamidreza Zareipour & Mike Quashie, 2024. "Forecasting the Occurrence of Electricity Price Spikes: A Statistical-Economic Investigation Study," Forecasting, MDPI, vol. 6(1), pages 1-23, February.
  63. Nazila Pourhaji & Mohammad Asadpour & Ali Ahmadian & Ali Elkamel, 2022. "The Investigation of Monthly/Seasonal Data Clustering Impact on Short-Term Electricity Price Forecasting Accuracy: Ontario Province Case Study," Sustainability, MDPI, vol. 14(5), pages 1-14, March.
  64. 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).
  65. Diankai Wang & Inna Gryshova & Mykola Kyzym & Tetiana Salashenko & Viktoriia Khaustova & Maryna Shcherbata, 2022. "Electricity Price Instability over Time: Time Series Analysis and Forecasting," Sustainability, MDPI, vol. 14(15), pages 1-24, July.
  66. Aris Dimeas & George Kiokes, 2022. "PV Penetration under Market Environment and with System Constraints," Energies, MDPI, vol. 15(22), pages 1-11, November.
  67. Ciarreta, Aitor & Martinez, Blanca & Nasirov, Shahriyar, 2023. "Forecasting electricity prices using bid data," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1253-1271.
  68. Hain, Martin & Kargus, Tobias & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2022. "An electricity price modeling framework for renewable-dominant markets," Working Paper Series in Production and Energy 66, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
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