A kernel-based regression model plus scenario generation from forecast errors and a new Support Vector Sorting step produces ensemble price trajectories that improve both statistical accuracy and trading profits over benchmarks on German intraday continuous market data.
Rudy Morel, Stéphane Mallat, and Jean-Philippe Bouchaud
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Scenario generation of intraday electricity price paths for optimal trading in continuous markets
A kernel-based regression model plus scenario generation from forecast errors and a new Support Vector Sorting step produces ensemble price trajectories that improve both statistical accuracy and trading profits over benchmarks on German intraday continuous market data.