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- W3089077215 abstract "Purpose Trading on electricity markets occurs such that the price settlement takes place before delivery, often day-ahead. In practice, these prices are highly volatile as they largely depend upon a range of variables such as electricity demand and the feed-in from renewable energy sources. Hence, the purpose of this paper is to provide accurate forecasts.. Design/methodology/approach This paper aims at comparing different predictors stemming from supply-side (solar and wind power generation), demand-side, fuel-related and economic influences. For this reason, this paper implements a broad range of non-linear models from machine learning and draw upon the information-fusion-based sensitivity analysis. Findings This study disentangles the respective relevance of each predictor. This study shows that external predictors altogether decrease root mean squared errors by up to 21.96%. A Diebold-Mariano test statistically proves that the forecasting accuracy of the proposed machine learning models is superior. Research limitations/implications The performance gain from including more predictors might be larger than from a better model. Future research should place attention on expanding the data basis in electricity price forecasting. Practical implications When developing pricing models, practitioners can achieve reasonable performance with a simple model (e.g. seasonal-autoregressive moving-average) that is built upon a wide range of predictors. Originality/value The benefit of adding further predictors has only recently received traction; however, little is known about how the individual variables contribute to improving forecasts in machine learning." @default.
- W3089077215 created "2020-10-01" @default.
- W3089077215 creator A5037018267 @default.
- W3089077215 creator A5081442873 @default.
- W3089077215 date "2020-09-25" @default.
- W3089077215 modified "2023-10-01" @default.
- W3089077215 title "Forecasting electricity prices with machine learning: predictor sensitivity" @default.
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- W3089077215 doi "https://doi.org/10.1108/ijesm-01-2020-0001" @default.
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