Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.
Mathematical Programming Computation , volume=
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Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
Quantile-based trading strategies for battery arbitrage fail to incentivize honest probabilistic forecasts and ignore price dependence, while stochastic programs using full distributions better connect forecast accuracy to economic value.
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