Cross-Market Meta-Learning for Electricity Price Forecasting

Electricity price forecasting is crucial for market participants but remains difficult because prices are volatile, market-specific, and closely tied to anticipated system conditions. Existing supervised methods depend largely on market-specific historical data, limiting their use in newly established or data-scarce markets. This paper proposes a market-information-aware adaptation framework that transfers the Chronos-2 time-series foundation model to day-ahead electricity price forecasting. It first constructs a multi-source market information (MSMI) interface aligning 7-day price context with pre-clearing supply--demand, reserve, maintenance, generator-capacity, and intertie variables, and then trains a source-domain gated low-rank adapter (LoRA), updating about $1\%$ of model parameters without target-market labels. The gate scales the frozen source adapter according to reserve-tightness and operating-state signals. A leave-one-market-out protocol is adopted for evaluating cross-market transferability. Experiments on four Chinese provincial day-ahead spot markets show that the proposed framework reduces the average MAE/RMSE by $6.24\%/7.99\%$ relative to market-information-aware zero-shot Chronos-2 and by $3.05\%/3.52\%$ relative to vanilla Source-LoRA. Experiments show that the gain is not reproduced by a learned global scalar or by random gate initialization, while the additional improvement over Source-LoRA is limited. These results suggest that market-structured inputs and state-dependent gated LoRA can provide a practical transfer path for data-scarce electricity markets.

Accurate load forecasting at multiple grid levels is essential for future smart grids, ranging from aggregated control area forecasts for balancing supply and demand to forecasts of individual end-consumer loads for demand-side management and energy management systems. We present a comprehensive benchmark for load forecasting across grid levels, comprising three datasets that represent a transmission system operator control area, low-voltage grid feeders, and individual end consumers. We evaluate ten methods for short-term load forecasting and find that Transformer-based approaches consistently outperform established methods, reducing forecast error by 6.6-10.7 %. To analyze the impact of architectural design, we introduce YAformer, a flexible Transformer architecture that integrates modifications from prior work and is optimized via hyperparameter optimization. However, the standard Transformer achieves superior performance, suggesting that these architectural modifications are not required for accurate load forecasting. We further evaluate the Transformer-based time-series foundation model Chronos-2, which demonstrates competitive zero-shot performance on two datasets but fails to accurately capture special events in the TSO data. Detailed analyses reveal model-specific strengths and weaknesses, and ablation studies highlight the importance of long input contexts, covariates and continuous retraining - aspects that are often overlooked in the time-series forecasting literature.

While publicly available electricity market data presents a valuable resource for forecasting research, the field lacks established benchmark datasets for standardized comparison. As a result, many studies have relied on different datasets and metrics to evaluate methods in isolated settings, making it difficult to assess progress and compare state-of-the-art approaches consistently. In this work, we use public data to evaluate deep learning models for electricity price forecasting (EPF) across multiple market settings. Our goal is to establish a reproducible framework that enables a consistent evaluation of forecasting models. Although deep learning has been explored for day-ahead EPF, many prior studies are limited to single-market settings, narrow feature sets, or fixed training regimes. This work presents a comparative evaluation of six deep learning models--covering state-space, MLP, RNN, and Transformer-based architectures--emphasizing generalization across markets. We simulate low-data target-market conditions using zero-shot, one-shot, and few-shot learning. Our test set focuses on the Germany-Luxembourg (DE-LU) bidding zone in 2024 using a standardized dataset with calendar, historical price, and market-derived features. Our findings suggest that N-HiTS and NBEATSx perform competitively in limited-data scenarios, while transformer-based models can reach comparable accuracy but tend to require more adaptation and tuning. Model performance also benefits from careful feature selection and hyperparameter tuning, and we note that the differences between the strongest models are often small.