英文标题：
《The value of forecasts: Quantifying the economic gains of accurate
  quarter-hourly electricity price forecasts》
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作者：
Christopher Kath, Florian Ziel
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最新提交年份：
2018
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英文摘要：
  We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction prices have not been studied intensively with a clear focus on predictive power. Besides electricity price forecasting, we check for the impact of early day-ahead (DA) EXAA prices on intraday forecasts. Another novelty of this paper is the complementary discussion of economic benefits. A precise estimation is worthless if it cannot be utilized. We elaborate possible trading decisions based upon our forecasting scheme and analyze their monetary effects. We find that even simple electricity trading strategies can lead to substantial economic impact if combined with a decent forecasting technique.
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中文摘要：
我们提出了德国季度小时电力现货市场的多元弹性净回归预测模型。虽然有关日前预测方法的文献多种多样，但对日内连续和日内集合竞价都没有进行深入研究，并明确关注预测能力。除了电价预测外，我们还检查了提前一天（DA）EXAA价格对日内预测的影响。本文的另一个新颖之处是对经济效益的补充讨论。如果不能加以利用，那么精确的估计是毫无价值的。我们根据预测方案阐述可能的交易决策，并分析其货币效应。我们发现，如果结合适当的预测技术，即使是简单的电力交易策略也会带来巨大的经济影响。
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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：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：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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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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