← Back to all news
arXiv Machine Learning By Julian Gutierrez, Redouane Silvente

Parametric and Generative Forecasts of EPEX Day-Ahead Energy Market Curves

Read the original on arXiv Machine Learning →

The paper introduces two methods for modelling aggregated supply and demand curves in the EPEX SPOT Day‑Ahead market. The first is a low‑dimensional parametric approach that produces deterministic point forecasts using plateau levels, elastic‑region boundaries, polynomial coefficients, and XGBoost. The second is a high‑dimensional generative approach based on conditional Denoising Diffusion Probabilistic Models that samples plausible curves from price arrivals and volume‑increment marks, enabling analysis of price and volume sensitivity and price impact.

Machine-generated by The Flow from the publisher's headline and feed description — not written or checked by a human. The full article lives at arXiv Machine Learning.

Related stories

arXiv Statistics ML
Sep 3

Online Multivariate Regularized Distributional Regression for High-dimensional Probabilistic Electricity Price Forecasting

The paper presents an online algorithm for multivariate distributional regression tailored to high‑dimensional probabilistic electricity price forecasting. It models conditional means, variances, and dependence structures of 24‑hour day‑ahead prices using coordinate descent and LASSO regularization, enabling scalable estimation in large covariate spaces. A regularized estimation path allows early stopping to prevent overfitting, and the method delivers interpretable, well‑calibrated joint prediction intervals, outperforming benchmarks on German market data.

By Simon Hirsch
More like this →
arXiv Machine Learning
Jul 21

Time-Aware Prior Fitted Networks for Zero-Shot Forecasting with Exogenous Variables

arXiv:2603. 15802v2 Announce Type: replace Abstract: In many time series forecasting settings, the target time series is accompanied by exogenous covariates, such as promotions and prices in retail demand; temperature in energy load; calendar and holiday indicators for traffic or sales; and grid load or fuel costs in electricity pricing.

By Andres Potapczynski, Ravi Kiran Selvam, Tatiana Konstantinova, Malcolm Wolff, Kin G. Olivares, Ruijun Ma, Michael W. Mahoney, Andrew Gordon Wilson, Boris N. Oreshkin, Dmitry Efimov
benchmarks
More like this →
arXiv Statistics ML
Aug 24

Wasserstein Exponential Smoothing for Distributional Time Series Forecasting

The paper introduces Wasserstein Exponential Smoothing (WES), a single‑parameter recursive method for forecasting distributional time series on ℝ. WES updates forecast distributions along Wasserstein geodesics, allowing direct application to empirical distributions without parametric modeling. In high‑frequency equity‑index return and household electricity‑demand data, WES achieves the lowest one‑step‑ahead Wasserstein prediction error among existing benchmarks and is retained in the 90% model confidence set for all 20 series examined.

By Takuo Matsubara, Peiwen Jiang, Minh-Ngoc Tran, Wilson Ye Chen
benchmarks
More like this →