Forecasting price spikes in European day-ahead electricity markets using decision trees

摘要

Although the techniques for normal price prediction are well advanced, price spike prediction remains a challenge. The aim of this paper is to present a method to predict both normal day-ahead electricity prices as well as day-ahead price spikes using classification and regression trees. The models are build using historical data of European electricity market and transmission system variables. The proposed method is tested on several bidding zones of Europe.