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| Main Authors: | , , , , , |
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| Format: | Preprint |
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2026
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| Online adgang: | https://arxiv.org/abs/2602.05430 |
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| _version_ | 1866910012753838080 |
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| author | Ponyuenyong, Kritchanat Tu, Pengyu Tan, Jia Wei Cheong, Wei Soon Ling, Jamie Ng Suat Jiang, Lianlian |
| author_facet | Ponyuenyong, Kritchanat Tu, Pengyu Tan, Jia Wei Cheong, Wei Soon Ling, Jamie Ng Suat Jiang, Lianlian |
| contents | Electricity price forecasting (EPF) is essential for energy markets stakeholders (e.g. grid operators, energy traders, policymakers) but remains challenging due to the inherent volatility and nonlinearity of price signals. Traditional statistical and deep learning (DL) models often struggle to capture complex temporal dependencies and integrate heterogeneous data effectively. While time series foundation models (TSFMs) have shown strong performance in general time series forecasting tasks, such as traffic forecasting and weather forecasting. However, their effectiveness in day-ahead EPF, particularly in volatile markets, remains underexplored. This paper presents a spike regularization strategy and evaluates a wide range of TSFMs, including Tiny Time Mixers (TTMs), MOIRAI, MOMENT, and TimesFM, against traditional statistical and DL models such as Autoregressive Integrated Moving Average (ARIMA), Long-short Term Memory (LSTM), and Convolutional Neural Network - LSTM (CNN-LSTM) using half-hourly wholesale market data with volatile trends in Singapore. Exogenous factors (e.g. weather and calendar variables) are also incorporated into models where applicable. Results demonstrate that TSFMs consistently outperform traditional approaches, achieving up to 37.4% improvement in MAPE across various evaluation settings. The findings offer practical guidance for improving forecast accuracy and decision-making in volatile electricity markets. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_05430 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Day-Ahead Electricity Price Forecasting for Volatile Markets Using Foundation Models with Regularization Strategy Ponyuenyong, Kritchanat Tu, Pengyu Tan, Jia Wei Cheong, Wei Soon Ling, Jamie Ng Suat Jiang, Lianlian Artificial Intelligence Machine Learning G.3; I.2.1 Electricity price forecasting (EPF) is essential for energy markets stakeholders (e.g. grid operators, energy traders, policymakers) but remains challenging due to the inherent volatility and nonlinearity of price signals. Traditional statistical and deep learning (DL) models often struggle to capture complex temporal dependencies and integrate heterogeneous data effectively. While time series foundation models (TSFMs) have shown strong performance in general time series forecasting tasks, such as traffic forecasting and weather forecasting. However, their effectiveness in day-ahead EPF, particularly in volatile markets, remains underexplored. This paper presents a spike regularization strategy and evaluates a wide range of TSFMs, including Tiny Time Mixers (TTMs), MOIRAI, MOMENT, and TimesFM, against traditional statistical and DL models such as Autoregressive Integrated Moving Average (ARIMA), Long-short Term Memory (LSTM), and Convolutional Neural Network - LSTM (CNN-LSTM) using half-hourly wholesale market data with volatile trends in Singapore. Exogenous factors (e.g. weather and calendar variables) are also incorporated into models where applicable. Results demonstrate that TSFMs consistently outperform traditional approaches, achieving up to 37.4% improvement in MAPE across various evaluation settings. The findings offer practical guidance for improving forecast accuracy and decision-making in volatile electricity markets. |
| title | Day-Ahead Electricity Price Forecasting for Volatile Markets Using Foundation Models with Regularization Strategy |
| topic | Artificial Intelligence Machine Learning G.3; I.2.1 |
| url | https://arxiv.org/abs/2602.05430 |