Accurate prediction of electricity prices is crucial for stakeholders in the energy market, particularly for grid operators, energy producers, and consumers. This study focuses on developing a predictive model leveraging Long Short-Term Memory (LSTM) networks to forecast day-ahead electricity prices in the California energy market. The model incorporates a variety of features, including historical price data, weather conditions, and the energy generation mix. A novel custom loss function that integrates Mean Absolute Error (MAE), Jensen-Shannon Divergence (JSD), and a smoothness penalty is introduced to enhance the prediction accuracy and interpretability. Additionally, an online learning approach is implemented to allow the model to adapt to new data incrementally, ensuring continuous relevance and accuracy. The results demonstrate that the custom loss function can improve the model's performance, aligning predicted prices more closely with actual values, particularly during peak intervals. Also, the online learning model outperforms other models by effectively incorporating real-time data, resulting in lower prediction error and variability. The inclusion of the energy generation mix further enhances the model's predictive capabilities, highlighting the importance of comprehensive feature integration. This research provides a robust framework for electricity price forecasting, offering valuable insights and tools for better decision-making in dynamic electricity markets.

This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent volatility and uncertainty of real-time electricity prices, which create substantial risks of financial losses for energy storage participants relying on future price forecasts to plan their operations. The framework comprises a two-layer prediction model to quantify real-time price uncertainty confidence intervals with high coverage. The framework is distribution-free and can work with any underlying point prediction model. We evaluate the quantification effectiveness through storage price arbitrage application by managing the risk of participating in the real-time market. We design a risk-averse policy for profit-maximization of energy storage arbitrage to find the safest storage schedule with very minimal losses. Using historical data from New York State and synthetic price predictions, our evaluations demonstrate that this framework can achieve good profit margins with less than $35\%$ purchases.

Demand flexibility can be described as the capacity for end users of electricity (think both business and homes) to change their electricity consumption patterns in response to market signals, such as time variable electricity prices. Electricity prices follow daily, weekly and seasonal patterns. Above we can see the daily pattern. In the morning, everyone wakes up, turns all their devices on and prices rise. As the population goes off to work, demand and prices fall (and solar generation comes online).

Electricity is bought and sold in wholesale markets at prices that fluctuate significantly. Short-term forecasting of electricity prices is an important endeavor because it helps electric utilities control risk and because it influences competitive strategy for generators. As the "smart grid" grows, short-term price forecasts are becoming an important input to bidding and control algorithms for battery operators and demand response aggregators. While the statistics and machine learning literature offers many proposed methods for electricity price prediction, there is no consensus supporting a single best approach. We test two contrasting machine learning approaches for predicting electricity prices, regression decision trees and recurrent neural networks (RNNs), and compare them to a more traditional ARIMA implementation. We conduct the analysis on a challenging dataset of electricity prices from ERCOT, in Texas, where price fluctuation is especially high. We find that regression decision trees in particular achieves high performance compared to the other methods, suggesting that regression trees should be more carefully considered for electricity price forecasting.