OrderFusion encodes orderbook buy-sell interactions in an end-to-end probabilistic model for intraday electricity price forecasting with non-crossing quantiles and reports consistent gains over baselines on European CID indices.
Padding values are set to a constantc= 10,000to ensure they do not occur in the data
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OrderFusion: Encoding Orderbook for End-to-End Probabilistic Intraday Electricity Price Forecasting
OrderFusion encodes orderbook buy-sell interactions in an end-to-end probabilistic model for intraday electricity price forecasting with non-crossing quantiles and reports consistent gains over baselines on European CID indices.