Arnaud Verstraeten

Arnaud Verstraeten, Maria Margarida Mascarenhas, Hussain Kazmi

Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between forecasts and actual output can lead to fluctuations in the system imbalance, which causes volatile imbalance prices. Accurate imbalance price forecasts are crucial for market players to choose a strategic balancing position. In early works, most forecasting methods combined fundamental and statistical approaches, but currently there is a clear trend towards data-driven machine learning models. This review compares forecasting algorithms in European markets with a focus on methodology. We emphasize the importance of high-quality input data, including intraday information and per-minute system data. Next, we identify the need for a common benchmark to compare novel forecasting methods developed for different markets and time periods. Finally, we argue that forecasts should be evaluated in terms of both downstream value and accuracy.

Chi Bui, Maria Margarida Mascarenhas, Arnaud Verstraeten et al.

Recent advances in Time Series Foundation Models (TSFMs) promise zero-shot forecasting capabilities with minimal task-specific training. While these models have shown strong performance across generic benchmarks, their applicability in volatile, complex electricity markets remains underexplored. Addressing this gap, this study provides a systematic empirical evaluation of several TSFMs, specifically Chronos-2 and Chronos-Bolt (developed by Amazon), and TimesFM 2.5 (provided by Google), for forecasting Belgian day-ahead and imbalance electricity prices. For both considered markets, Chronos-2 in ARX mode produces the most accurate forecasts. Compared with the best ensemble prediction from other machine learning methods, Chronos-2's Mean Absolute Error (MAE) is 5% lower for the day-ahead market. In contrast, the model yields 10% higher MAE predicting imbalance prices across all forecast horizons, except for the two-hour-ahead horizon. Moreover, we find that TSFMs exhibit genuine zero-shot forecasting skills but still struggle under extreme market conditions.