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

Bartosz Uniejewski, Grzegorz Marcjasz and Rafał Weron

International Journal of Forecasting, 2019, vol. 35, issue 4, 1533-1547

Abstract: We use a unique set of prices from the German EPEX market and take a closer look at the fine structure of intraday markets forelectricity, with their continuous trading for individual load periods up to 30 min before delivery. We apply the least absolute shrinkage and selection operator (LASSO) in order 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; ARX model; Diebold-Mariano test; Trading strategy (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (58)

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Working Paper: Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:4:p:1533-1547

DOI: 10.1016/j.ijforecast.2019.02.001

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