Seasonality in deep learning forecasts of electricity imbalance prices

In this paper, we propose a seasonal attention mechanism, the effectiveness of which is evaluated via the Bidirectional Long Short-Term Memory (BiLSTM) model. We compare its performance with alternative deep learning and machine learning models in forecasting the balancing settlement prices in the electricity market of Great Britain. Critically, the Seasonal Attention-Based BiLSTM framework provides a superior forecast of extreme prices with an out-of-sample gain in the predictability of 11%–15% compared with models in the literature. Our forecasting techniques could aid both market participants, to better manage their risk and assign their assets, and policy makers, to operate the system at lower cost.