Electricity Price Forecasting

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Latest papers 13

Aug 31, 2026cs.LG

A Human-in-the-Loop Autonomous Agent for Industry Time Series Forecasting

Real-world time-series forecasting is rarely a one-shot model invocation: practitioners must formulate tasks, connect data and models, incorporate domain expertise, assess prediction plausibility, and communicate uncertainty. Specialized forecasting models provide strong numerical predictions but usually operate in fixed pipelines, while general-purpose large language model (LLM) agents often lack forecasting-specific checks, constraints, and stopping rules. We present CastClaw, a human-in-the-loop autonomous forecasting system built through forecasting-oriented harness engineering. CastClaw connects data, specialized models, analytical tools, user input, and a versioned execution record in one runtime. Users specify the target, horizon, constraints, and hypotheses in natural language. Starting from a supplied or model-generated forecast, CastClaw checks temporal patterns and user constraints; when evidence is missing, it retrieves context, runs an analysis or another model, or asks the user. It then keeps, revises, or escalates the result under explicit stopping conditions. The output contains the final forecast and an execution report recording inputs, evidence, actions, and revisions. In this five-dataset electricity-price setting, CastClaw reports the lowest point-estimate MSE and MAE among 16 baselines. A Nord Pool case demonstrates the inspectable workflow. CastClaw was also validated offline on provincial electricity-load data from North China covering January--June 2026.

Xiaoyu Tao, Mingyue Cheng, Ze Guo +4

State Key Laboratory of Cognitive Intelligence, University of Science and Technology of China, Hefei, China

Electricity Price Forecasting Time Series Forecasting Human-in-the-Loop AI LLM Agent Harnesses

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Aug 31, 2026cs.LG

Foundation models for electricity price forecasting and battery arbitrage: Can they replace market-specific forecasting models?

Foundation models promise accurate forecasts with little or no task-specific training, but whether they can replace models designed specifically for electricity price forecasting remains unclear. We compare nine variants from five foundation model families, evaluated in zero-shot mode, with two state-of-the-art electricity price forecasting benchmarks in Germany, Poland, and Spain over 2021-2025. Their performance is assessed in terms of point and probabilistic forecasting accuracy, as well as economic value in battery energy storage arbitrage. Only the TabPFN models consistently and significantly outperform the benchmarks across all three markets and all statistical measures. However, this statistical dominance does not translate directly into economic dominance: TabPFN performs best under unlimited bids and riskier quantile-based strategies, whereas the Distributional Deep Neural Network benchmark is more profitable when risk tolerance is lower. Thus, foundation models cannot universally replace market-specific models, and their value depends on both model architecture and the decision problem.

Arkadiusz Lipiecki, Rafał Weron

Department of Computational Social Science, Wrocław University of Science and Technology, Poland · Department of Operations Research and Business Intelligence, Wrocław University of Science and Technology, Poland · Center for Research in Energy (CoRE), Aarhus University, 8000 Aarhus C, Denmark

Tabular Foundation Models Electricity Price Forecasting Time Series Forecasting Probabilistic Forecasting Time-Series Foundation Models

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Aug 11, 2026cs.LG

Market-Information-Aware Gated-LoRA of Foundation Models for Transferable Day-Ahead 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.

Hang Fan, Wei Wei, Shengwei Mei

Electricity Price Forecasting Time Series Forecasting Low-Rank Adaptation Transfer Learning Time-Series Foundation Models

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Jul 7, 2026cs.LG

Does Demand Response Increase Vulnerability to Cyber Attacks by Adversarial Data Modifications?

Adversarial attacks are crafted data manipulations that aim to deteriorate the outcomes of prediction or decision-making algorithms. In the energy systems literature, adversarial attacks have been studied with a focus on problems regarding the electricity grid. Such problems include forecasting and grid state estimation, where adversarial attacks are also known as false data injection attacks. Only few studies have analyzed the potential impact that adversarial attacks have on the demand side. We analyze how manipulated price forecasts impact the decision-making in industrial demand response. To this end, we design adversarial attacks that aim to deteriorate the output of electricity price forecasting models and solve scheduling optimization problems of energy-intensive production processes using the distorted price forecasts. We make use of a generalized process model to investigate the vulnerability to adversarial attacks for a range of production scheduling problems with different levels of process flexibility. We find that adversarial attacks can erode the profits gained from demand response. However, when perturbations are limited in extent (so that they are hard to detect by the human user), demand response preserves about 90% of its financial advantage compared to steady-state process operation. Further, we find that the impact of adversarial attacks on demand response does not only depend on the magnitude of the perturbations but rather on the orientation of the adversarial perturbations. Therefore, we argue that attack analyses should explicitly incorporate the sensitivities of scheduling optimization models into the attack design to enable more rigorous assessments of decision-making under adversarial attacks.

Clemens Kortmann, Eike Cramer

Process Systems Engineering (AVT.SVT) RWTH Aachen University · Department of Chemical Engineering Sargent Centre for Process Systems Engineering University College London

Electricity Price Forecasting Adversarial Attacks Demand Response

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Jul 2, 2026cs.LG

Evaluating Time Series Foundation Models for Electricity Price Forecasting: Contamination Risk, Distributional Shifts, and Covariate Dependence

Time series foundation models (TSFMs) have shown strong zero-shot forecasting performance, but their generalization in covariate-driven, non-stationary settings is underexplored. Electricity price forecasting (EPF) presents a challenging testbed due to complex temporal dependencies, distributional shifts, and strong reliance on structural and contextual information. We propose a two-dataset-benchmarking framework for EPF to mitigate contamination risk and enable fair evaluation of TSFMs. We examine key aspects of EPF including point and probabilistic forecasting performance, tail behavior, price spikes, and comparisons against domain-specific methods. We find that TSFMs are highly competitive and often outperform general-purpose baselines. Yet, their performance depends critically on covariate support, and they do not consistently surpass domain-specific methods tailored to EPF. Interestingly, simple ensembles of TSFMs and domain-specific methods appear to have significant potential, suggesting that the two approaches capture complementary predictive information.

Zhenghua Pan, Ahmed Aziz Ezzat

Department of Industrial & Systems Engineering, Rutgers, The State University of New Jersey, USA.

Zero-Shot Time Series Forecasting Electricity Price Forecasting Time Series Forecasting Forecasting Benchmarks Non-Stationary Time Series Forecasting Time-Series Foundation Models+1

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Jun 17, 2026cs.AI

Analysing drivers and interdependencies in European electricity markets using XAI

Electricity markets are inherently complex systems characterised by strong nonlinearities, high-dimensional interactions, and increasing interdependence across regions. While deep neural networks (DNNs) have demonstrated strong predictive capabilities for electricity prices, their lack of interpretability limits their usefulness for understanding the underlying drivers of price formation. This paper addresses this gap by combining DNN models with explainable artificial intelligence (XAI) techniques to analyse the determinants of electricity prices across 39 European bidding zones. We employ SHAP (SHapley Additive exPlanations) to quantify feature contributions and apply and extend SSHAP, an aggregation framework to improve interpretability in high-dimensional settings. The analysis identifies that renewable energy sources, particularly solar, play a disproportionately important role in price formation despite their lower share in total power generation. Gas prices remain a dominant and consistent driver across electricity markets, while interconnections significantly shape price dynamics, highlighting the strong interdependence of European electricity systems. In addition, a synthetic EU-wide electricity market is constructed to explore the counterfactual scenario of a fully integrated market with a single price.

Antoine Pesenti, Aidan O'Sullivan

UCL Energy Institute, University College London, UK

Electricity Price Forecasting

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Jun 8, 2026cs.LG

Investigating Calibration Challenges in Probabilistic Electricity Price Forecasting

As renewable energy integration increases market volatility, probabilistic electricity price forecasting has become essential for effective risk management. However, current-proper-scoring rules often prioritize forecast sharpness at the expense of calibration, leading to overconfident and statistically unreliable uncertainty estimates. This work highlights the critical gap between theoretical scoring and practical calibration, demonstrating that models can become mere proxies for deterministic forecasts when reliability is neglected. We conclude that future research must shift toward calibration-aware objectives and architectures to ensure the distributional integrity of energy market forecasts.

Jan Niklas Lettner, Hadeer El Ashhab, Benjamin Schäfer

Institute for Automation and Applied Informatics

Probability Calibration Electricity Price Forecasting Probabilistic Forecasting Proper Scoring Rules Probabilistic Time Series Forecasting

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May 21, 2026cs.LG

Hybrid Kolmogorov-Arnold Network and XGBoost Framework for Week-Ahead Price Forecasting in Australia's National Electricity Market

Accurate electricity price forecasting (EPF) is essential for market participants to support operational planning and risk management, yet remains challenging due to strong volatility, nonlinear dynamics, and frequent extreme price spikes. These challenges are particularly pronounced in the Australian National Electricity Market (NEM), where high renewable penetration further increases uncertainty. This paper investigates week-ahead electricity price forecasting and proposes a hybrid KAN+XGBoost framework that integrates Kolmogorov-Arnold Networks (KAN) with tree-based learning. The proposed approach combines the global nonlinear representation capability of KAN with the local robustness of XGBoost to capture both long-term dependencies and short-term price fluctuations. Experiments are conducted on real-world NEM data using an expanding window evaluation strategy. The results demonstrate that the proposed model outperforms benchmark methods, including SARIMAX, Long Short-Term Memory (LSTM), standalone KAN, and XGBoost, reducing MAE by approximately 12% compared to XGBoost and by over 50% compared to a naive baseline. The results suggest that hybrid learning strategies provide an effective and robust solution for electricity price forecasting in highly dynamic electricity markets.

Houxuan Zhou, Sriram Prasad, Chenghao Huang +2

Department of Data Science and AI, Faculty of IT, Monash University, Australia · School of Electrical Engineering and Computer Science, University of Queensland, Australia · Monash Energy Institute, Monash University, Australia

Electricity Price Forecasting Time Series Forecasting

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May 16, 2026eess.SY

Empirical evaluation of Time Series Foundation Models for Day-ahead and Imbalance Electricity Price Forecasting in Belgium

Recent advances in Time Series Foundation Models (TSFMs) promise zero-shot forecasting capabilities with minimal task-specific training. While these models have shown strong performance across generic benchmarks, their applicability in volatile, complex electricity markets remains underexplored. Addressing this gap, this study provides a systematic empirical evaluation of several TSFMs, specifically Chronos-2 and Chronos-Bolt (developed by Amazon), and TimesFM 2.5 (provided by Google), for forecasting Belgian day-ahead and imbalance electricity prices. For both considered markets, Chronos-2 in ARX mode produces the most accurate forecasts. Compared with the best ensemble prediction from other machine learning methods, Chronos-2's Mean Absolute Error (MAE) is 5% lower for the day-ahead market. In contrast, the model yields 10% higher MAE predicting imbalance prices across all forecast horizons, except for the two-hour-ahead horizon. Moreover, we find that TSFMs exhibit genuine zero-shot forecasting skills but still struggle under extreme market conditions.

Chi Bui, Maria Margarida Mascarenhas, Arnaud Verstraeten +1

ELECTA-ESAT (KU Leuven) Leuven, Belgium · ELECTA-ESAT(KU Leuven) and Gridual Leuven, Belgium

Zero-Shot Time Series Forecasting Electricity Price Forecasting Time Series Forecasting Time-Series Foundation Models Power Systems

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May 9, 2026q-fin.CP

A Market-Rule-Informed Neural Network for Efficient Imbalance Electricity Price Forecasting

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/.

Runyao Yu, Julia Lin, Derek W. Bunn +6

Delft University of Technology · Austrian Institute of Technology · London Business School +2

Electricity Price Forecasting Time Series Forecasting Power Systems

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Apr 29, 2026cs.LG

Electricity price forecasting across Norway's five bidding zones in the post-crisis era

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.

My Thi Diem Phan, Trung Tuyen Truong, Hoai Phuong Ha +1

Independent researcher · Department of Mathematics, University of Oslo · Department of Computer Science, The Arctic University of Norway +1

Electricity Price Forecasting Time Series Forecasting Forecasting Benchmarks Non-Stationary Time Series Forecasting

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Apr 26, 2026cs.LG

Machine Learning and Deep Learning Models for Short Term Electricity Price Forecasting in Australia's National Electricity Market

Short term electricity price forecast is essential in competitive power markets, yet electricity price series exhibit high volatility, irregularity, and non-stationarity. This phenomenon is pronounced in the South Australian region of the National Electricity Market, where high renewable penetration drives price volatility and frequent negative price intervals, while structural changes such as the transition to five-minute settlement further complicate forecast. To address these challenges, this study develops a unified benchmark framework. Under identical data preprocessing, feature engineering with lag features, rolling statistics, cyclic temporal encodings, and so on, and an 85% to 15% chronological train test split, six algorithms are systematically compared, including AWMLSTM, CatBoost, GBRT, LSTM, LightGBM, and SVR. The results show that for price prediction, tree-based models, especially GBRT with an R squared value of 0.88, generally outperform LSTM and SVR. However, all models achieve a mean absolute percentage error above 90%, and more than 65% of GBRT predictions have relative errors above 10%, which highlights the inherent difficulty of price forecast. For demand prediction, all models perform substantially better than in price prediction. AWMLSTM and GBRT achieve an R2 value of 0.96 with mean absolute percentage error below 32%, and GBRT has 74.37% of samples within 5% error, while LSTM and SVR perform less accurately in both tasks. Future improvements should focus on hybrid models such as tree plus transformers, data augmentation for extreme events, and error correction to better capture price spikes.

Wei Lu, Jay Wang, Dingli Duan +3

School of Engineering, Computer & Mathematical Sciences, Auckland University of Technology (AUT), Auckland 1010, New Zealand · Department of Thermal Energy and Power Engineering, Yantai University, Yantai, China · Department of Building Environment and Equipment, School of Civil Engineering, Hefei University of Technology, Hefei, China +1

Gradient-Boosted Decision Trees Electricity Price Forecasting Time Series Forecasting Forecasting Benchmarks

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Apr 16, 2026cs.LG

Assessing the Performance-Efficiency Trade-off of Foundation Models in Probabilistic Electricity Price Forecasting

Large-scale renewable energy deployment introduces pronounced volatility into the electricity system, turning grid operation into a complex stochastic optimization problem. Accurate electricity price forecasting (EPF) is essential not only to support operational decisions, such as optimal bidding strategies and balancing power preparation, but also to reduce economic risk and improve market efficiency. Probabilistic forecasts are particularly valuable because they quantify uncertainty stemming from renewable intermittency, market coupling, and regulatory changes, enabling market participants to make informed decisions that minimize losses and optimize expected revenues. However, it remains an open question which models to employ to produce accurate forecasts. Should these be task-specific machine learning (ML) models or Time Series Foundation Models (TSFMs)? In this work, we compare four models for day-ahead probabilistic EPF (PEPF) in European bidding zones: a deterministic NHITS backbone with Quantile-Regression Averaging (NHITS+QRA) and a conditional Normalizing-Flow forecaster (NF) are compared with two TSFMs, namely Moirai and ChronosX. On the one hand, we find that TSFMs outperform task-specific deep learning models trained from scratch in terms of CRPS, Energy Score, and predictive interval calibration across market conditions. On the other hand, we find that well-configured task-specific models, particularly NHITS combined with QRA, achieve performance very close to TSFMs, and in some scenarios, such as when supplied with additional informative feature groups or adapted via few-shot learning from other European markets, they can even surpass TSFMs. Overall, our findings show that while TSFMs offer expressive modeling capabilities, conventional models remain highly competitive, emphasizing the need to weigh computational expense against marginal performance improvements in PEPF.

Jan Niklas Lettner, Hadeer El Ashhab, Veit Hagenmeyer +1

Karlsruhe Institute of Technology · Karlsruhe, Germany

Electricity Price Forecasting Time Series Forecasting Probabilistic Forecasting Time-Series Foundation Models Probabilistic Time Series Forecasting Power Systems

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