Transfer learning for electricity price forecasting

Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of day-ahead electricity prices is an active research field and available data from various markets can be used as input for forecasting. A collection of models have been proposed for this task, but the fundamental question on how to use the available big data is often neglected. In this paper, we propose to use transfer learning as a tool for utilizing information from other electricity price markets for forecasting. We pre-train a neural network model on source markets and finally do a fine-tuning for the target market. Moreover, we test different ways to use the rich input data from various electricity price markets to forecast 24 steps ahead in hourly frequency. Our experiments on four different day-ahead markets indicate that transfer learning improves the electricity price forecasting performance in a statistically significant manner. Furthermore, we compare our results with state-of-the-art methods in a rolling window scheme to demonstrate the performance of the transfer learning approach. Our method improves the performance of the state-of-the-art algorithms by 7% for the French market and 3% for the German market.