Author

Rafał Weron

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#machine learning Preprint Sep 2026

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 · 0 citations

#machine learning Preprint Aug 2026

Foundation models for electricity price forecasting and battery arbitrage: Can they replace market-specific forecasting models?

Foundation models promise accurate forecasts with little or no task-specific training, but whether they can replace models designed specifically for electricity price forecasting remains unclear. We compare nine variants from five foundation model families, evaluated in zero-shot mode, with two state-of-the-art electri...

Arkadiusz Lipiecki, Rafał Weron · 2 citations

Preprint Aug 2026

Probabilistic forecasting via post-processing prediction errors: In- or out-of-sample?

Many forecasting systems produce point forecasts even when decisions require information about uncertainty. We investigate whether post-processing methods can systematically improve upon traditional Gaussian predictive distributions constructed from in-sample residuals. We propose a hybrid framework that combines forec...

P. Zaborowski, Arkadiusz Lipiecki, F. Petropoulos et al. · 0 citations