Probabilistic Forecasting of German Electricity Imbalance Prices

@article{Narajewski2022ProbabilisticFO,
  title={Probabilistic Forecasting of German Electricity Imbalance Prices},
  author={Michał Narajewski},
  journal={Energies},
  year={2022}
}
The imbalance market is very volatile and often exhibits extreme price spikes. This makes it very hard to model; however, if predicted correctly, one could make significant gains by participating on the right side of the market. In this manuscript, we conduct a very short-term probabilistic forecasting of imbalance prices, contributing to the scarce literature in this novel subject. The forecasting is performed 30 min before the delivery, so that the trader might still choose the trading place… 

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