Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy (opens in new tab)

Electricity price forecasting supports decision-making in energy markets and asset operation. Probabilistic forecasts are increasingly adopted to explicitly quantify uncertainty, typically issued as quantile predictions or ensembles of the full predictive distribution. However, how improvements in statistical forecast quality translate into economic value remains unclear. Battery storage arbitrage in day-ahead markets is a popular application-...