EPEX订单簿上的机器学习：洞察和预测
Machine Learning on EPEX Order Books: Insights and Forecasts
摘要：
本文采用机器学习算法预测德国电力现货市场价格。这些预测特别利用现货市场的买卖订单数据，以及可再生能源进料和预期需求等基本市场数据。开发了针对订单簿数据的适当特征提取。使用交叉验证优化超参数，神经网络和随机森林提出了统计参考模型和比较。机器学习模型优于传统方法。
英文摘要：
This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also fundamental market data like renewable infeed and expected demand. Appropriate feature extraction for the order book data is developed. Using cross-validation to optimise hyperparameters, neural networks and random forests are proposed and compared to statistical reference models. The machine learning models outperform traditional approaches.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
