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

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  • Uniejewski, Bartosz
  • Marcjasz, Grzegorz
  • Weron, Rafał

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.

Suggested Citation

  • Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał, 2019. "Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1533-1547.
    • Handle: RePEc:eee:intfor:v:35:y:2019:i:4:p:1533-1547
    DOI: 10.1016/j.ijforecast.2019.02.001
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    More about this item

    Keywords

    Intraday electricity market; Variable selection; Price forecasting; LASSO; ARX model; Diebold-Mariano test; Trading strategy;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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