Within forecasting electricity pricing, we analyse whether adding various vari- ables improves the predictions, and if shorter time intervals between observa- tions enhance accuracy of the forecasting. Next, we focus on proper selection of lagged observations, which has not been thoroughly covered in the past litera- ture. In addition, many papers studied electricity prices in larger markets (e.g. United States, Australia, Nord Pool, etc.) on datasets limited in scope, with 2-3 years timespan. To address these gaps in literature, we obtain one daily and one hourly dataset, both spanning 6 years (January 1, 2015 - December 31, 2020), from four Central and Eastern European countries - the Czech Repub- lic, the Slovak Republic, Hungary, and Romania. These contain information on the electricity prices, and information on our observed added variables - temperature and cross-border electricity flows. For the forecasting, we use two different methods - Autoregression (AR) and Seemingly Unrelated Regression (SUR). The thorough selection of lagged observations, which we accustom to the closing time of the auction-based electricity market system, serves further studies as a guidance on how to avoid possible errors and inconsistencies in their predictions. In our analyses, both AR and SUR models show that...

Many methods have been used to forecast real-time electricity prices in various regions around the world. The problem is difficult because of market volatility affected by a wide range of exogenous variables from weather to natural gas prices, and accurate price forecasting could help both suppliers and consumers plan effective business strategies. Statistical analysis with autoregressive moving average methods and computational intelligence approaches using artificial neural networks dominate the landscape. With the rise in popularity of convolutional neural networks to handle problems with large numbers of inputs, and convolutional neural networks conspicuously lacking from current literature in this field, convolutional neural networks are used for this time series forecasting problem and show some promising results. This document fulfills both MSEE Master's Thesis and BSCPE Senior Project requirements.

Dans le contexte de l’augmentation de la part de la production énergétique provenant de sources renouvelables imprévisibles, les prix de l’électricité sont plus volatiles que jamais. Cette volatilité rend la prévision des prix plus difficile mais en même temps de plus grande valeur. Dans cette recherche, une analyse comparative de 8 modèles de prévision est effectuée sur la tâche de prédire les prix de gros de l’électricité du lendemain en France, en Allemagne, en Belgique et aux Pays-Bas. La méthodologie utilisée pour produire les prévisions est expliquée en détail. Les différences de précision des prévisions entre les modèles sont testées pour leur signification statistique. La méthode de gradient boosting a produit les prévisions les plus précises, suivi de près par une méthode d’ensemble. / In the context of the increase in the fraction of power generation coming from unpredictable renewable sources, electricity prices are as volatile as ever. This volatility makes forecasting future prices more difficult yet more valuable. In this research, a benchmark of 8 forecasting models is conducted on the task of predicting day-ahead wholesale electricity prices in France, Germany, Belgium and the Netherlands. The methodology used to produce the forecasts is explained in detail. The differences in forecast accuracy between the models are tested for statistical significance. Gradient boosting produced the most accurate forecasts, closely followed by an ensemble method.

There is a demand for decision support tools that can model the electricity markets and allows to forecast the hourly electricity price. Many different ap- proach such as artificial neural network or support vector regression are used in the literature. This thesis provides comparison of several different estima- tors under one settings using available data from Czech electricity market. The resulting comparison of over 5000 different estimators led to a selection of several best performing models. The role of historical weather data (temper- ature, dew point and humidity) is also assesed within the comparison and it was found that while the inclusion of weather data might lead to overfitting, it is beneficial under the right circumstances. The best performing approach was the Lasso regression estimated using modified Lars. 1

High electricity prices have become the title of several news articles recently in Sweden and the prices have experienced large sudden fluctuations during certain periods. In this thesis work, a smart control model for the electricity usage in three different households has been developed with the main purpose to minimize the electricity cost. This has been implemented by using mixed-integer linear programming (MILP) to optimize the cost 24 hours ahead, and by forecasting two of the main inputs; the load and the electricity spot prices for bidding zone three (SE3) in Sweden. The units included in the model are the photovoltaic system, the batteries, the electricity consumption in the house and the electric vehicles. However, the main task of the smart control was to determine when and in which amount the energy should flow from one unit to another, or to/from the grid. In other words, it decides the charging/discharging of the batteries, the selling/buying of electricity and the charging of the electric vehicle (EV). Different amounts of cost savings/profits have been obtained when applying the smart control on the three houses, which have different annual consumption, capacities of the components, heating systems and more. The results showed that it is most optimal to run the model between the time interval 13.00-00.00, when the spot prices for the next day are known, in order to avoid the remarkable impact accompanied with the use of forecasted electricity prices as input to the model. The forecasting of the load is, on the other hand, required to run the model, but this thesis showed that the effect of the uncertainties in this forecast is relatively small. Three types of machine learning methods were implemented to perform the forecasts, namely linear regression (LR), decision tree regression and random forest regression. After measuring especially the mean absolute error (MAE) to validate the results, the random forest regression showed the least error and the other methods showed close results when looking at the electric load prognosis.

In a deregulated electricity market, offering the appropriate amount of electricity at the right time with the right bidding price is of paramount importance. The forecasting of electricity market clearing price (MCP) is a prediction of future electricity price based on given forecast of electricity demand, temperature, sunshine, fuel cost, precipitation and other related factors. Currently, there are many techniques available for short-term electricity MCP forecasting, but very little has been done in the area of mid-term electricity MCP forecasting. The mid-term electricity MCP forecasting focuses electricity MCP on a time frame from one month to six months. Developing mid-term electricity MCP forecasting is essential for mid-term planning and decision making, such as generation plant expansion and maintenance schedule, reallocation of resources, bilateral contracts and hedging strategies. Six mid-term electricity MCP forecasting models are proposed and compared in this thesis: 1) a single support vector machine (SVM) forecasting model, 2) a single least squares support vector machine (LSSVM) forecasting model, 3) a hybrid SVM and auto-regression moving average with external input (ARMAX) forecasting model, 4) a hybrid LSSVM and ARMAX forecasting model, 5) a multiple SVM forecasting model and 6) a multiple LSSVM forecasting model. PJM interconnection data are used to test the proposed models. Cross-validation technique was used to optimize the control parameters and the selection of training data of the six proposed mid-term electricity MCP forecasting models. Three evaluation techniques, mean absolute error (MAE), mean absolute percentage error (MAPE) and mean square root error (MSRE), are used to analysis the system forecasting accuracy. According to the experimental results, the multiple SVM forecasting model worked the best among all six proposed forecasting models. The proposed multiple SVM based mid-term electricity MCP forecasting model contains a data classification module and a price forecasting module. The data classification module will first pre-process the input data into corresponding price zones and then the forecasting module will forecast the electricity price in four parallel designed SVMs. This proposed model can best improve the forecasting accuracy on both peak prices and overall system compared with other 5 forecasting models proposed in this thesis.

Market prices in the liberalized European electricity system play a crucial role in promoting competition, ensuring grid stability, and maximizing profits for market participants. Accurate electricity price forecasting algorithms have, therefore, become increasingly important in this competitive market. However, existing evaluations of forecasting models primarily focus on overall accuracy, overlooking the underlying causality of the predictions. The thesis explores two state-of-the-art forecasters, the deep neural network (DNN) and the Lasso Estimated AutoRegressive (LEAR) models, in the EPEX-BE and Nord Pool markets. The aim is to understand if their predictions can be trusted in more general settings than the limited context they are trained in. If the models produce poor predictions in extreme conditions or if their predictions are inconsistent with reality, they cannot be relied upon in the real world where these forecasts are used in downstream decision-making activities. The results show that for the EPEX-BE market, the DNN model outperforms the LEAR model in terms of overall accuracy. However, the LEAR model performs better in predicting negative prices, while the DNN model performs better in predicting price spikes. For the Nord Pool market, a simpler DNN model is more accurate for price forecasting. In both markets, the models exhibit behaviours inconsistent with reality, making it challenging to trust the models’ predictions. Overall, the study highlights the importance of understanding the underlying causality of forecasting models and the limitations of relying solely on overall accuracy metrics. / Priserna på den liberaliserade europeiska elmarknaden spelar en avgörande roll för att främja konkurrens, säkerställa stabilitet i elnätet och maximera aktörernas vinster. Exakta prisprognoalgoritmer har därför blivit allt viktigare på denna konkurrensutsatta marknad. Existerande utvärderingar av prognosverktyg fokuserar emellertid på den övergripande noggrannheten och förbiser de underliggande orsakssambanden i prognoserna. Denna rapport utforskar två moderna prognosverktyg, DNN (Deep Neural Network) och LEAR (Lasso Estimated AutoRegressive) på elmarknaderna i Belgien respektive Norden. Målsättningen är att förstå om deras prognoser är pålitliga i mer allmänna sammanhang än det begränsade sammahang som de är tränade i. Om modellerna producerar dåliga prognoser under extrema förhållanden eller om deras prognoser inte överensstämmer med verkligheten så kan man inte förlita sig på dem i den verkliga världen, där prognoserna ligger till grund för beslutsfattande aktiviteter. Resultaten för Belgien visar att DNN-modellen överträffar LEAR-modellen när det gäller övergripande noggrannhet. LEAR-modellen presterar dock bättre när det gäller att förutse negativa priser, medan DNN-modellen presterar bättre när det gäller prisspikar. På den nordiska elmarknaden är en enklare DNN-modell mer noggrann för prisprognoser. På båda marknaden visar modellerna beteenden som inte överensstämmer med verkligheten, vilket gör det utmanande att lita på modellernas prognoser. Sammantaget belyser studien vikten av att förstå de underliggande orsakssambanden i prognosmodellerna och begränsningarna med att enbart förlita sig på övergripande mått på noggrannhet.

Electricity spot prices are difficult to predict since they depend on different unstable and erratic parameters, and also due to the fact that electricity is a commodity that cannot be stored efficiently. This results in a volatile, highly fluctuating behavior of the prices, with many peaks. Machine learning algorithms have outperformed traditional methods in various areas due to their ability to learn complex patterns. In the last decade, deep learning approaches have been introduced in electricity spot price prediction problems, often exceeding their predecessors. In this thesis, several deep learning models were built and evaluated for their ability to predict the spot prices 10-days ahead. Several conclusions were made. Firstly, it was concluded that rather simple neural network architectures can predict prices with high accuracy, except for the most extreme sudden peaks. Secondly, all the deep networks outperformed the benchmark statistical model. Lastly, the proposed LSTM and CNN provided forecasts which were statistically, significantly superior and had the lowest errors, suggesting they are the most suitable for the prediction task. / Elspotspriser är svåra att förutsäga eftersom de beror på olika instabila och oregelbundna faktorer, och också på grund av att elektricitet är en vara som inte kan lagras effektivt. Detta leder till ett volatilt, fluktuerande beteende hos priserna, med många plötsliga toppar. Maskininlärningsalgoritmer har överträffat traditionella metoder inom olika områden på grund av deras förmåga att lära sig komplexa mönster. Under det senaste decenniet har djupinlärningsmetoder introducerats till problem inom elprisprognostisering och ofta visat sig överlägsna sina föregångare. I denna avhandling konstruerades och utvärderades flera djupinlärningsmodeller på deras förmåga att förutsäga spotpriserna 10 dagar framåt. Den första slutsatsen är att relativt simpla nätverksarkitekturer kan förutsäga priser med hög noggrannhet, förutom för fallen med de mest extrema, plötsliga topparna. Vidare, så övertränade alla djupa neurala nätverken den statistiska modellen som användes som riktmärke. Slutligen, så gav de föreslagna LSTM- och CNN-modellerna prognoser som var statistiskt, signifikant överlägsna de andra och hade de lägsta felen, vilket tyder på att de är bäst lämpade för prognostiseringsuppgiften.