Multivariate Scenario Generation of Day-Ahead Electricity Prices using Normalizing Flows

arXiv:2311.14033v2 Announce Type: replace
Abstract: Trading on the day-ahead electricity markets requires accurate information about the realization of electricity prices and the uncertainty attached to the predictions. Deriving accurate forecasting models presents a difficult task due to the day-ahead price's non-stationarity resulting from changing market conditions, e.g., due to changes resulting from the energy crisis in 2021. We present a probabilistic forecasting approach for day-ahead electricity prices using the fully data-driven deep generative model called normalizing flow. Our modeling approach …

abstract accurate forecasting arxiv cs.lg electricity forecasting information market markets multivariate predictions price trading type uncertainty