Directional Price Forecasting in the Continuous Intraday Market under Consideration of Neighboring Products and Limit Order Books

The increasing penetration of variable renewable energy and flexible demand
technologies, such as electric vehicles and heat pumps, introduces significant
uncertainty in power systems, resulting in greater imbalance; defined as the
deviation between scheduled and actual supply or demand. Short-term power
markets, such as the European continuous intraday market, play a critical role
in mitigating these imbalances by enabling traders to adjust forecasts close to
real time. Due to the high volatility of the continuous intraday market,
traders increasingly rely on electricity price forecasting to guide trading
decisions and mitigate price risk. However most electricity price forecasting
approaches in the literature simplify the forecasting task. They focus on
single benchmark prices, neglecting intra-product price dynamics and price
signals from the limit order book. They also underuse high-frequency and
cross-product price data.
In turn, we propose a novel directional electricity price forecasting method
for hourly products in the European continuous intraday market. Our method
incorporates short-term features from both hourly and quarter-hourly products
and is evaluated using German European Power Exchange data from 2024-2025. The
results indicate that features derived from the limit order book are the most
influential exogenous variables. In addition, features from neighboring
products; especially those with delivery start times that overlap with the
trading period of the target product; improve forecast accuracy. Finally, our
evaluation of the value captured by our electricity price forecasting suggests
that the proposed electricity price forecasting method has the potential to
generate profit when applied in trading strategies.