Analysing drivers and interdependencies in European electricity markets using XAI

The European Union's Carbon Border Adjustment Mechanism (CBAM) creates a complex challenge for the interconnected European electricity market. Traditional static analyses often miss the cross-border spillover effects that are vital for understanding this policy. This paper addresses this gap by developing a spatio-temporal Graph Neural Network (GNN) framework. It quantifies how CBAM affects electricity prices and carbon intensity (CI) at the same time. We modeled a subgraph of eight European countries. Our results suggest that CBAM is not just a uniform tax. Instead, it acts as a tool that transforms the market and creates structural differences. In our simulated scenarios, we observe that low-carbon countries like France and Switzerland can gain a competitive advantage. This suggests a potential decrease in their domestic electricity prices. Meanwhile, high-carbon countries like Poland face a double burden of rising costs. We identify the primary driver as a fundamental shift in the market's merit order.

Norway's electricity market is heavily dominated by hydropower, but the 2021-2022 energy crisis and stronger integration with Continental Europe have fundamentally altered price formation, reducing the reliability of forecasting models calibrated on historical data. Despite the critical need for updated models, a unified benchmark evaluating feature contributions across all structurally diverse Norwegian bidding zones remains lacking. Here we present a comprehensive evaluation of one-step-ahead forecasting of the Nord Pool market across all five Norwegian bidding zones. We constructed a multimodal hourly dataset spanning 2019-2025 and evaluated eight forecasting model families, including Light Gradient Boosting Machine (LightGBM), autoregressive models with exogenous variables, and advanced deep learning architectures, using a strictly causal test set. We implemented robust rolling-origin backtesting, leave-one-group-out feature ablation, and conditional regime analysis to dissect model performance and feature utility. Our results show that LightGBM achieves the best performance in every zone, with mean absolute error ranging from 1.60 to 5.58 euros per megawatt-hour, while a ridge-regularized autoregressive model with exogenous variables remains a highly competitive linear benchmark in northern zones. Feature ablation reveals that models relying solely on lagged prices and calendar variables achieve high accuracy and often match or closely approach the performance of the full multimodal model. However, conditional regime analysis demonstrates that external features like reservoir levels and gas prices remain crucial to stratify forecast errors, which consistently increase under stressed market regimes. This highlights the practical value of model interpretability and regime awareness for decision makers facing structural changes in market dynamics.

Accurate and efficient imbalance electricity price forecasting is critical for industrial energy trading systems, especially as battery assets and automated bidding pipelines increasingly participate in balancing markets. However, real-time forecasting is complicated by nonlinear market-rule-based price formation, heterogeneous input signals, and incomplete data availability caused by communication delays, publication lags, and measurement outages. This paper proposes a market-rule-informed neural forecasting framework that embeds imbalance price formation rules into the latent space of an expressive neural network. The proposed framework preserves raw signal information while exploiting transparent market-rule priors. We further analyze operational robustness by removing price-component information and characterize how forecasting performance scales with input length and forecasting horizon. Experimental results show that the proposed model achieves competitive forecasting performance with substantially fewer trainable parameters and shorter training time than generic deep learning baselines. Experimental results show that the proposed model achieves competitive forecasting performance with substantially fewer trainable parameters and shorter training time than generic deep learning baselines, demonstrating that market-rule priors and expressive neural networks should be jointly used for accurate and computationally sustainable forecasting in industrial energy trading applications. The implementation is publicly available at https://runyao-yu.github.io/MRINN/.