Stealing profits: Spread-based temporal hierarchy forecasting for day-ahead electricity markets
Day-ahead electricity price forecasts support trading and storage decisions, but for battery arbitrage predicting intraday price spreads is more relevant than predicting individual hourly prices. Here we show that a temporal hierarchy forecasting (THieF) framework that jointly reconciles forecasts of hourly electricity...
Arkadiusz Lipiecki, N. Kourentzes, Rafał Weron
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