A kernel-based regression model plus scenario generation from forecast errors and a new Support Vector Sorting step produces ensemble price trajectories that improve both statistical accuracy and trading profits over benchmarks on German intraday continuous market data.
arXiv preprint arXiv:2510.15011 , year=
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Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.
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Scenario generation of intraday electricity price paths for optimal trading in continuous markets
A kernel-based regression model plus scenario generation from forecast errors and a new Support Vector Sorting step produces ensemble price trajectories that improve both statistical accuracy and trading profits over benchmarks on German intraday continuous market data.
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Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.