Predicting Electricity Imbalance Prices and Volumes: Capabilities and Opportunities

Electricity imbalance pricing provides the ultimate incentive for generators and suppliers to contract with one another ahead of time deliver against their obligations. As delivery approaches, traders must judge whether trade-out a position or settle it in balancing market at as-yet-unknown price. Forecasting price (and related volumes) is therefore necessity short-term markets. However, this topic has received surprisingly little attention academic literature despite clear need by practitioners. Furthermore, emergence algorithmic trading demands automated forecasting decision-making, those best able extract predictive information from available data gaining competitive advantage. Here we present case developing methods provide motivating examples Great Britain’s market, demonstrating forecast skill value.