Journal
INTERNATIONAL JOURNAL OF FORECASTING
Volume 35, Issue 4, Pages 1533-1547Publisher
ELSEVIER
DOI: 10.1016/j.ijforecast.2019.02.001
Keywords
Intraday electricity market; Variable selection; Price forecasting; LASSO; ARX model; Diebold-Mariano test; Trading strategy
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Funding
- German Research Foundation (DFG, Germany)
- National Science Center (NCN, Poland) through BEETHOVEN grant [2016/23/G/HS4/01005]
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We use a unique set of prices from the German EPEX market and take a closer look at the fine structure of intraday markets for electricity, 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. (C) 2019 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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