摘要翻译：
最近关于点电价预测的研究表明，德国每小时的日内连续市场是弱有效的。因此，我们采取了一种新颖的、先进的方法来解决这个问题。通过模拟每个交易窗口中的轨迹，对每小时的日内电价进行概率预测，以获得一个现实的集合，从而允许更有效的日内交易和重新调度。用广义加性模型拟合价差，假设价差服从零膨胀分布，精确地说是狄拉克分布和学生t分布的混合。此外，混合项估计使用高维logistic回归与lasso惩罚。我们用I.A.对该系列的期望值和波动率进行建模。自回归和非贸易效应或负荷、风能和太阳能发电量预测，以及考虑到成熟期等非线性因素。利用滚动窗口预测研究，分析了样本特征和预测性能。将多个版本的模型与几个基准模型进行比较，并使用概率预测测度和显著性检验进行评估。该研究旨在预测德国日内连续市场在最后3小时交易中的价格分布，但该方法允许应用于其他连续市场，特别是欧洲的连续市场。结果表明，混合模型优于基准模型，从波动率的建模中获得了最大的收益。它们还表明，XBID的引入降低了市场的波动性。
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英文标题：
《Ensemble Forecasting for Intraday Electricity Prices: Simulating
  Trajectories》
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作者：
Micha{\l} Narajewski and Florian Ziel
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最新提交年份：
2020
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Computer Science        计算机科学
二级分类：Machine Learning        机器学习
分类描述：Papers on all aspects of machine learning research (supervised, unsupervised, reinforcement learning, bandit problems, and so on) including also robustness, explanation, fairness, and methodology. cs.LG is also an appropriate primary category for applications of machine learning methods.
关于机器学习研究的所有方面的论文（有监督的，无监督的，强化学习，强盗问题，等等），包括健壮性，解释性，公平性和方法论。对于机器学习方法的应用，CS.LG也是一个合适的主要类别。
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一级分类：Computer Science        计算机科学
二级分类：Systems and Control        系统与控制
分类描述：cs.SY is an alias for eess.SY. This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
cs.sy是eess.sy的别名。本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Electrical Engineering and Systems Science        电气工程与系统科学
二级分类：Systems and Control        系统与控制
分类描述：This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
  Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic forecasting of the hourly intraday electricity prices is performed by simulating trajectories in every trading window to receive a realistic ensemble to allow for more efficient intraday trading and redispatch. A generalized additive model is fitted to the price differences with the assumption that they follow a zero-inflated distribution, precisely a mixture of the Dirac and the Student's t-distributions. Moreover, the mixing term is estimated using a high-dimensional logistic regression with lasso penalty. We model the expected value and volatility of the series using i.a. autoregressive and no-trade effects or load, wind and solar generation forecasts and accounting for the non-linearities in e.g. time to maturity. Both the in-sample characteristics and forecasting performance are analysed using a rolling window forecasting study. Multiple versions of the model are compared to several benchmark models and evaluated using probabilistic forecasting measures and significance tests. The study aims to forecast the price distribution in the German Intraday Continuous Market in the last 3 hours of trading, but the approach allows for application to other continuous markets, especially in Europe. The results prove superiority of the mixture model over the benchmarks gaining the most from the modelling of the volatility. They also indicate that the introduction of XBID reduced the market volatility.
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PDF链接：
https://arxiv.org/pdf/2005.01365