Skip to content

Stealing profits: Spread-based temporal hierarchy forecasting for day-ahead electricity markets

Sep 2026 · 0 citations · 38 references
Economics Computer Science

Abstract

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 prices and all intraday price spreads consistently improves performance across two major European electricity markets and three different forecasting architectures. Using five years of out-of-sample data from Germany and Spain, we obtain accuracy improvements of up to 19.7% and profit gains of up to 10.4% relative to unreconciled hourly price forecasts. The gains persist even for a highly accurate pretrained TabPFN foundation model. Our results demonstrate that exploiting coherent relationships between economically relevant forecasting targets can improve both predictive accuracy and decision value, and that better statistical forecasts do not necessarily imply better economic decisions.

View source

Similar papers

#artificial intelligence Conference Open access Jun 2018

Gibson Env: Real-World Perception for Embodied Agents

This paper investigates developing real-world perception for active agents, proposes Gibson Environment for this purpose, and showcases a set of perceptual tasks learned therein.

F. Xia, Amir Zamir, Zhi-Yang He et al. · 1,069 citations · ⚡112
#machine learning Review Open access Oct 2014

Software development in startup companies: A systematic mapping study

The results indicate that software engineering work practices are chosen opportunistically, adapted and configured to provide value under the constrains imposed by the startup context.

Nicolò Paternoster, Carmine Giardino, M. Unterkalmsteiner et al. · 394 citations · ⚡54

Diffusion models as plug-and-play priors

The possibility of inferring high-dimensional data inference in a model that consists of a prior and an auxiliary differentiable constraint given some additional information is considered, thereby allowing a range of potential applications in adapting models to new domains and tasks.

Alexandros Graikos, Esmeralda S. Whitammer, N. Jojic et al. · 316 citations · ⚡15

Trajectory Balance: Improved Credit Assignment in GFlowNets

It is proved that any global minimizer of the trajectory balance objective can define a policy that samples exactly from the target distribution, and empirically demonstrate the benefits of the trajectories balance objective for GFlowNet convergence, diversity of generated samples, and robustness to long action sequenc...

Esmeralda S. Whitammer, Moksh Jain, Emmanuel Bengio et al. · 302 citations · ⚡60

KTO: Model Alignment as Prospect Theoretic Optimization

This work proposes a HALO that directly maximizes the utility of generations instead of maximizing the log-likelihood of preferences, and suggests that the best loss depends on the inductive biases most appropriate for a given setting, an oft-overlooked consideration.

Kawin Ethayarajh, Winnie Xu, Niklas Muennighoff et al. · 195 citations · ⚡28

Related blog posts

MIT News · Artificial Intelligence Oct 28, 2026

Making machines that can listen

Professor Paris Smaragdis develops computers with superhuman hearing for applications like speech recognition, music understanding, and environmental monitoring.

MIT News · Artificial Intelligence Oct 23, 2026

Q&A: How AI came to model the “messy” human mind

Assistant Professor Benjamin Lindquist studies how engineers deliberately injected randomness into early AI, giving rise to deep-learning models that sometimes hallucinate.

We use cookies to run the site and, with your consent, for analytics and to show ads. See our Cookie Policy.