A1262
Title: Probabilistic electricity price forecasting for storage arbitrage and risk management in Eastern Europe
Authors: Alla Petukhina - ASE Bucharest (Romania) [presenting]
Daniel Traian Pele - Bucharest University of Economic Studies, Institute for Economic Forecasting, Romanian Academy (Romania)
Stefan Lessmann - Humboldt-University of Berlin (Germany)
Cosmin Octavian Cepoi - The Bucharest University of Economic Studies (Romania)
Alexandru-Victor Andrei - Bucharest University of Economic Studies (Romania)
Abstract: Probabilistic electricity price forecasting (PEPF) supports informed decision-making in liberalised power markets with growing renewable generation. We propose a framework using Distributional Random Forests (DRF) to estimate the joint distribution of day-ahead electricity prices across Central and Eastern Europe, capturing temporal and cross-border dependencies. We assess the economic value of these forecasts through scenario-based bidding strategies applied to energy storage systems. Results show that even simple strategies yield substantial gains when guided by probabilistic forecasts. Based on the comparative performance of lithium-ion and pumped hydro storage, we provide recommendations for the strategic planning and use of storage under forecast-driven operation.
