Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO

Bartosz Uniejewski, Grzegorz Marcjasz and Rafał Weron

No HSC/18/07, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: Using a unique set of prices from the German EPEX market we take a closer look at the fine structure of intraday markets for electricity with its continuous trading for individual load periods up to 30 minutes before delivery. We apply the least absolute shrinkage and selection operator (LASSO) to gain statistically sound insights on variable selection and provide recommendations for very short-term electricity price forecasting.

Keywords: Intraday electricity market; Variable selection; Price forecasting; LASSO (search for similar items in EconPapers)
JEL-codes: C14 C22 C51 C53 Q47 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2018-08-31
New Economics Papers: this item is included in nep-ene, nep-mst and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO (2019)
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