C.1 Stage 1
Model MAE R2 Correct sign MOR 6.938 -0.054 0.580
Table C.1: Results from stage 1 for selected evaluation metrics when spikes are removed, i.e. only consider pricesyd,h between the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 29.486 0.115 0.714
Table C.2: Results from stage 1 for selected evaluation metrics on spikes only, i.e. only consider pricesyd,houtside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 9.731 0.072 0.602
Table C.3: Results from stage 1 for selected evaluation metrics on February data only.
Model MAE R2 Correct sign MOR 8.610 0.030 0.584
OLS 8.739 -0.018 0.538 LASSO 8.409 0.028 0.589 FFNN 8.681 0.004 0.554 LSTM 8.388 0.037 0.592 GRU 8.336 0.045 0.602
Table C.4: Results from stage 1 for selected evaluation metrics on March data only.
Model MAE R2 Correct sign MOR 9.526 -0.375 0.617
OLS 8.462 -0.237 0.732 LASSO 9.014 -0.343 0.681 FFNN 8.027 -0.183 0.786 LSTM 8.657 -0.247 0.657 GRU 8.836 -0.301 0.647
Table C.5: Results from stage 1 for selected evaluation metrics on positive target observations only, i.e. yd,h>0.
Model MAE R2 Correct sign MOR 8.826 -0.854 0.567
OLS 9.995 -1.182 0.421 LASSO 9.185 -0.954 0.528 FFNN 10.364 -1.304 0.363 LSTM 9.257 -0.990 0.559 GRU 9.113 -0.954 0.594
Table C.6: Results from stage 1 for selected evaluation metrics on negative target observations only, i.e. yd,h<0.
Model MAE R2 Correct sign
Table C.7: Results from stage 1 for selected evaluation metrics at extreme spot prices, i.e. only consider predictions whenDAd,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 9.215 -0.077 0.690
Table C.8: Results from stage 1 for selected evaluation metrics at extreme wind forecast errors, i.e. only consider predictions when ∆W I8d,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 8.186 0.088 0.603
Table C.9: Results from stage 1 for selected evaluation metrics at extreme solar forecast errors, i.e. only consider predictions when ∆SO8d,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.10: Results from stage 1 for selected evaluation metrics at extreme con-sumption forecast errors, i.e. only consider predictions when ∆CO8d,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 11.812 0.037 0.621
Table C.11: Results from stage 1 for selected evaluation metrics at extreme avail-ability forecast errors, i.e. only consider predictions when ∆AV8d,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 8.881 0.056 0.738
Table C.12: Results from stage 1 for selected evaluation metrics at extreme sum of weather forecast errors, i.e. only consider predictions when ∆W E8d,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.13: Results from stage 1 for selected evaluation metrics at extreme sum of all forecast errors, i.e. only consider predictions when ∆AEd,h8 is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 8.983 0.205 0.698
Table C.14: Results from stage 1 for selected evaluation metrics at extreme wind power forecasts made at spot time, i.e. only consider predictions whenW Iˆd,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 9.573 0.073 0.635
Table C.15: Results from stage 1 for selected evaluation metrics at extreme solar power forecasts made at spot time, i.e. only consider predictions whenSOˆd,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.16: Results from stage 1 for selected evaluation metrics at extreme con-sumption power forecasts made at spot time, i.e. only consider predictions when COˆd,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 14.527 0.068 0.611
Table C.17: Results from stage 1 for selected evaluation metrics at extreme sys-tem imbalances, i.e. only consider predictions whenSI9d,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 14.299 0.058 0.690
Table C.18: Results from stage 1 for selected evaluation metrics at extreme traver-sals of the bid-offers, i.e. only consider predictions whenM Od,h8 is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign MOR 14.973 0.063 0.627
OLS 14.105 0.088 0.627 LASSO 14.449 0.071 0.659 FFNN 14.800 0.088 0.611 LSTM 14.165 0.132 0.651 GRU 14.229 0.086 0.690
Table C.19: Results from stage 1 for selected evaluation metrics at extreme changes in traversals of the bid-offers, i.e. only consider predictions when
∆M Od,h8 is outside the 5 and 95 percentile levels in the test set.
C.2 Stage 2
Model MAE R2 Correct sign
Naive 5.875 0.153 0.711
OLS 5.756 0.216 0.707
LASSO 5.723 0.225 0.710
FFNN 5.830 0.191 0.707
LSTM 5.994 0.168 0.700
GRU 5.960 0.169 0.694
ens(MOR) 5.982 0.183 0.693 ens(OLS) 5.835 0.173 0.708 ens(LASSO) 5.793 0.191 0.711 ens(FFNN) 5.827 0.172 0.711 ens(LSTM) 5.833 0.192 0.700 ens(GRU) 5.821 0.191 0.704
Table C.20: Results from stage 2 for selected evaluation metrics when spikes are removed, i.e. only consider pricesyd,h between the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.21: Results from stage 2 for selected evaluation metrics on spikes only, i.e. only consider pricesyd,houtside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Naive 7.628 0.411 0.769
Table C.22: Results from stage 2 for selected evaluation metrics on February data only.
Model MAE R2 Correct sign
Table C.23: Results from stage 2 for selected evaluation metrics on March data only.
Model MAE R2 Correct sign
Naive 7.673 0.070 0.732
Table C.24: Results from stage 2 for selected evaluation metrics on positive target observations only, i.e. yd,h>0.
Model MAE R2 Correct sign
Table C.25: Results from stage 2 for selected evaluation metrics on negative target observations only, i.e. yd,h<0.
Model MAE R2 Correct sign Naive 11.349 0.423 0.833
Table C.26: Results from stage 2 for selected evaluation metrics at extreme spot prices, i.e. only consider predictions whenDAd,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.27: Results from stage 2 for selected evaluation metrics at extreme wind forecast errors, i.e. only consider predictions when ∆W I8d,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Naive 6.638 0.472 0.698
Table C.28: Results from stage 2 for selected evaluation metrics at extreme solar forecast errors, i.e. only consider predictions when ∆SO8d,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.29: Results from stage 2 for selected evaluation metrics at extreme con-sumption forecast errors, i.e. only consider predictions when ∆CO8d,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign Naive 10.027 0.385 0.660
Table C.30: Results from stage 2 for selected evaluation metrics at extreme avail-ability forecast errors, i.e. only consider predictions when ∆AV8d,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.31: Results from stage 2 for selected evaluation metrics at extreme sum of weather forecast errors, i.e. only consider predictions when ∆W E8d,his outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Naive 8.806 0.442 0.667
Table C.32: Results from stage 2 for selected evaluation metrics at extreme sum of all forecast errors, i.e. only consider predictions when ∆AEd,h8 is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.33: Results from stage 2 for selected evaluation metrics at extreme wind power forecasts made at spot time, i.e. only consider predictions whenW Iˆd,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Naive 7.199 0.518 0.714
Table C.34: Results from stage 2 for selected evaluation metrics at extreme solar power forecasts made at spot time, i.e. only consider predictions whenSOˆd,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.35: Results from stage 2 for selected evaluation metrics at extreme con-sumption power forecasts made at spot time, i.e. only consider predictions when COˆd,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign Naive 11.388 0.413 0.778
Table C.36: Results from stage 2 for selected evaluation metrics at extreme sys-tem imbalances, i.e. only consider predictions whenSI9d,h is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign
Table C.37: Results from stage 2 for selected evaluation metrics at extreme traver-sals of the bid-offers, i.e. only consider predictions whenM Od,h8 is outside the 5 and 95 percentile levels in the test set.
Model MAE R2 Correct sign Naive 11.088 0.444 0.762
Table C.38: Results from stage 2 for selected evaluation metrics at extreme changes in traversals of the bid-offers, i.e. only consider predictions when
∆M Od,h8 is outside the 5 and 95 percentile levels in the test set.