Access the full text.
Sign up today, get DeepDyve free for 14 days.
Journal of Business and Economic Statistics, 13
Journal of the Operational Research Society, 57
Computational Statistics and Data Analysis, 56
Energy Economics, 70
European Journal of Operational Research, 272
International Journal of Forecasting, 35
Applied Energy, 250
International Journal of Energy Sector Management, 11
Decision Sciences, 30
European Journal of Operational Research, 235
Energy Policy, 39
International Journal of Forecasting, 30
Studies in Nonlinear Dynamics and Econometrics, 10
Energies, 9
International Journal of Energy Sector Management, 12
Omega, 40
Energy Policy, 59
Energies, 13
IEEE Transactions on Power Systems, 17
EPEX (2017)
European power exchange: market data
International Journal of Energy Sector Management, 11
European Journal of Operational Research, 253
Applied Energy, 172
Electric Power Systems Research, 81
Energies, 6
Energy Economics, 35
Energies, 12
IEEE Transactions on Power Systems, 18
Energies, 12
Energy Policy, 48
Energy Policy, 38
International Journal of Forecasting, 36
Energy Policy, 36
Energies, 8
Journal of Banking and Finance, 31
Energy Economics, 27
Journal of Forecasting, 33
International Journal of Electrical Power and Energy Systems, 31
EEX (2017)
EEX transparency platform
Decision Support Systems, 56
Energy Policy, 38
IEEE Transactions on Power Systems, 14
Machine Learning, 45
European Journal of Operational Research, 281
International Journal of Forecasting, 35
International Journal of Forecasting, 21
International Journal of Energy Sector Management, 12
International Journal of Forecasting, 24
Journal of Decision Systems, 24
Journal of Commodity Markets
Energies, 11
Renewable and Sustainable Energy Reviews, 94
Energy Policy, 49
Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity demand and the feed-in from renewable energy sources. Hence, the purpose of this paper is to provide accurate forecasts..Design/methodology/approachThis paper aims at comparing different predictors stemming from supply-side (solar and wind power generation), demand-side, fuel-related and economic influences. For this reason, this paper implements a broad range of non-linear models from machine learning and draw upon the information-fusion-based sensitivity analysis.FindingsThis study disentangles the respective relevance of each predictor. This study shows that external predictors altogether decrease root mean squared errors by up to 21.96%. A Diebold-Mariano test statistically proves that the forecasting accuracy of the proposed machine learning models is superior.Research limitations/implicationsThe performance gain from including more predictors might be larger than from a better model. Future research should place attention on expanding the data basis in electricity price forecasting.Practical implicationsWhen developing pricing models, practitioners can achieve reasonable performance with a simple model (e.g. seasonal-autoregressive moving-average) that is built upon a wide range of predictors.Originality/valueThe benefit of adding further predictors has only recently received traction; however, little is known about how the individual variables contribute to improving forecasts in machine learning.
International Journal of Energy Sector Management – Emerald Publishing
Published: Jan 22, 2021
Keywords: Artificial intelligence; Forecasting; Neural networks; Electricity
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.