Probabilistic Forecasting of Day-Ahead Electricity Prices and their Volatility with LSTMs.
Julius TrebbienSebastian PützBenjamin SchäferHeidi S. NygårdLeonardo Rydin GorjãoDirk WitthautPublished in: CoRR (2023)
Keyphrases
- electricity markets
- market clearing
- short term
- stock market
- market prices
- wind power
- market participants
- electric power
- unit commitment
- garch model
- software agents
- power generation
- bidding strategies
- spot market
- financial time series
- load forecasting
- long term
- electricity consumption
- bayesian networks
- exchange rate
- probabilistic model
- generative model
- auction mechanisms
- foreign exchange
- financial markets
- business models
- uncertain data