Multivariate Probabilistic Forecasting of Intraday Electricity Prices using Normalizing Flows

• URL: http://arxiv.org/abs/2205.13826v1
• Date: Fri, 27 May 2022 08:38:20 GMT
• Title: Multivariate Probabilistic Forecasting of Intraday Electricity Prices using Normalizing Flows
• Authors: Eike Cramer, Dirk Witthaut, Alexander Mitsos, Manuel Dahmen
• Abstract summary: In Germany, the intraday electricity price typically fluctuates around the day-ahead price of the EPEX spot markets in a distinct hourly pattern. This work proposes a probabilistic modeling approach that models the intraday price difference to the day-ahead contracts.
• Score: 62.997667081978825
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Electricity is traded on various markets with different time horizons and regulations. Short-term trading becomes increasingly important due to higher penetration of renewables. In Germany, the intraday electricity price typically fluctuates around the day-ahead price of the EPEX spot markets in a distinct hourly pattern. This work proposes a probabilistic modeling approach that models the intraday price difference to the day-ahead contracts. The model captures the emerging hourly pattern by considering the four 15 min intervals in each day-ahead price interval as a four-dimensional joint distribution. The resulting nontrivial, multivariate price difference distribution is learned using a normalizing flow, i.e., a deep generative model that combines conditional multivariate density estimation and probabilistic regression. The normalizing flow is compared to a selection of historical data, a Gaussian copula, and a Gaussian regression model. Among the different models, the normalizing flow identifies the trends most accurately and has the narrowest prediction intervals. Notably, the normalizing flow is the only approach that identifies rare price peaks. Finally, this work discusses the influence of different external impact factors and finds that, individually, most of these factors have negligible impact. Only the immediate history of the price difference realization and the combination of all input factors lead to notable improvements in the forecasts.

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