Crossing Frontiers in electricity prIce forecasTing (CrossFIT)
Grant no.: NCN 2018/30/A/HS4/00444
Funding agency: National Science Centre (NCN), Poland
Funding scheme: MAESTRO
Funding period: 1.07.2019-30.06.2024 (60 months)
Budget: 2 961 200 PLN
Title in Polish: Przekraczanie granic w prognozowaniu cen energii elektrycznej (CrossFIT)
Principal Investigator (Kierownik):
Senior Investigators (Główni wykonawcy):
- Katarzyna Maciejowska (1.07.2019-30.06.2020)
- Dimitis Sotiros (1.10.2020-30.06.2020)
- Florian Ziel (since 1.07.2021)
- Cristian Challu (Carnegie Mellon University, Pittsburgh, USA)
- Tao Hong (UNCC, Charlotte, USA)
- Christopher Kath (RWE Supply & Trading GmbH, Essen, D)
- Jesus Lago (Amazon, NL; Delft UT, NL)
- Kin Gutierrez Olivares (Carnegie Mellon University, Pittsburgh, USA)
- Stefan Trück (MQ, Sydney, AUS)
- Hamidreza (Hamid) Zareipour (University of Calgary, CAN)
– Ph.D. / M.Sc. / B.Sc. student
Aims and scope:
Over the last two decades price forecasts have become fundamental inputs to energy companies’ decision-making mechanisms and a variety of methods have been tried for electricity price forecasting (EPF). However, the unprecedented expansion of renewable generation and active demand side management on one hand, and machine learning advances as well as the increase of computational power on the other, have recently provided the impulse and – the much needed – technical possibilities to cross the frontiers of today’s electricity price forecasting. It is exactly the aim of the CrossFIT project to go beyond the state-of-the-art by carrying out the following four tasks:
- Development and validation of new techniques for electricity price forecasting based on deep and statistical learning.
- Optimization of calibration window(s) selection for short-term forecasting with statistical and computational intelligence methods.
- Development and validation of approaches to multidimensional (ensemble) electricity price forecasting.
- Development of measures and procedures for assessing the financial impact of electricity price forecasting errors.
The CrossFIT project is interdisciplinary in nature and will, in particular, contribute to: (i) computational statistics and computer science by developing efficient EPF algorithms that use deep or statistical learning and utilize carefully selected calibration windows, (ii) econometrics by analyzing existing and developing new methods for computing and evaluating ensemble forecasts, (iii) finance by proposing measures that assess the financial impact of EPF errors, and (iv) electrical engineering by virtue of the analyzed processes. From the utilitarian point of view it will contribute to improving forecasting and risk management practices in the energy sector and in the longer run it may contribute to improving the financial stability of the firms operating in the power market and the national energy security.
Peer-reviewed articles in JCR-listed journals
2021 (3+), 2020 (2), 2019 (0)
- A. Jędrzejewski, G. Marcjasz, R. Weron (2021) Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO, Energies 14(11), 3249 (doi: 10.3390/en14113249). Working paper version available from RePEc: https://ideas.repec.org/p/ahh/wpaper/worms2104.html
- J. Lago, G. Marcjasz, B. De Schutter, R. Weron (2021) Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark, Applied Energy 293, 116983 (doi: 10.1016/j.apenergy.2021.116983). Working paper version available from arXiv: https://arxiv.org/abs/2008.08004
- B. Uniejewski, R. Weron (2021) Regularized quantile regression averaging for probabilistic electricity price forecasting, Energy Economics 95, 105121 (doi: 10.1016/j.eneco.2021.105121). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1904.html
- C. Kath, W. Nitka, T. Serafin, T. Weron, P. Zaleski, R. Weron (2020) Balancing generation from renewable energy sources: Profitability of an energy trader, Energies 13(1), 205 (doi: 10.3390/en13010205). Working paper version available from RePEc: https://ideas.repec.org/p/wuu/wpaper/hsc1907.html
- G. Marcjasz, B. Uniejewski, R. Weron (2020) Beating the naive – Combining LASSO with naive intraday electricity price forecasts, Energies 13(7), 1667 (doi: 10.3390/en13071667). Working paper version available from RePEc: https://ideas.repec.org/p/ahh/wpaper/worms2001.html
Peer-reviewed articles in non JCR-listed journals
- W. Nitka, T. Serafin, D. Sotiros (2021) Forecasting electricity prices: Autoregressive Hybrid Nearest Neighbors (ARHNN) method. In: M. Paszynski et al. (eds.) Computational Science – ICCS 2021. Lecture Notes in Computer Science, vol. 12745, pp. 312-325, Springer, Cham (DOI: 10.1007/978-3-030-77970-2_24). Working paper version available from RePEc: https://ideas.repec.org/p/ahh/wpaper/worms2106.html
Forthcoming publications, submitted papers and work in progress
- K. Olivares, C. Challu, G. Marcjasz, R. Weron, A. Dubrawski (2021) Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx, International Journal of Forecasting, submitted. Working paper version available from arXiv: https://arxiv.org/abs/2104.05522
- G. Marcjasz, J. Lago, R. Weron (2021) Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs, work in progress. Working paper version available from arXiv: https://arxiv.org/abs/2008.08006
- T. Serafin, G. Marcjasz, R. Weron (2021) Trading on short-term path forecasts of intraday electricity prices, work in progress. Working paper version available from RePEc: https://ideas.repec.org/p/ahh/wpaper/worms2017.html
- epftoolbox in Python (maintained by Jesus Lago) – the first open-access library for driving research in electricity price forecasting. Its main goal is to make available a set of tools that ensure reproducibility and establish research standards in electricity price forecasting research. See Lago et al. (2021; Applied Energy; doi: 10.1016/j.apenergy.2021.116983) for details.