The evolution of probabilistic price forecasting techniques: A review of the day-ahead, intra-day, and balancing markets

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dc.contributor.authorO’Connor, Ciaran
dc.contributor.authorBahloul, Mohamed
dc.contributor.authorPrestwich, Steven
dc.contributor.authorVisentin, Andrea
dc.contributor.funderScience Foundation Ireland(SFI)
dc.contributor.funderEuropean Regional Development Fund
dc.date.accessioned2026-05-25T11:50:05Z
dc.date.available2026-05-25T11:50:05Z
dc.date.issued2026-04-16
dc.description.abstractElectricity price forecasting has become a critical tool for decision-making in energy markets, particularly as the increasing penetration of renewable energy has introduced greater volatility and uncertainty. Historically, research in this field has been dominated by point forecasting methods, which provide single-value predictions but fail to quantify uncertainty. However, as power markets evolve due to renewable integration, smart grids, and regulatory changes, the need for probabilistic forecasting has become more pronounced, offering a more comprehensive approach to risk assessment and market participation. This paper presents a review of probabilistic forecasting methods, tracing their evolution from Bayesian and distribution based approaches to quantile regression techniques to recent developments in conformal prediction. Particular emphasis is placed on advancements in probabilistic forecasting, including validity-focused methods that address key limitations in uncertainty estimation. Additionally, this review extends beyond the day-ahead market to include the intra-day and balancing markets, where forecasting challenges are intensified by higher temporal granularity and real-time operational constraints. We examine state-of-the-art methodologies, key evaluation metrics, and ongoing challenges, such as forecast validity, model selection, and the absence of standardised benchmarks, providing researchers and practitioners with a comprehensive and timely resource for navigating the complexities of modern electricity markets. © 2026 by the authors.en
dc.description.sponsorshipThis work was conducted with the financial support of Science Foundation Ireland under Grant Nos. 18/CRT/6223, 16/RC/3918 and 12/RC/2289-P2, which are co-funded under the European Regional Development Fund.
dc.description.versionPublished Version
dc.format.extent39
dc.format.mimetypeapplication/pdfen
dc.identifier.articleid1929
dc.identifier.authororcidO’Connor, Ciaran
dc.identifier.authororcidBahloul, Mohamed
dc.identifier.authororcidPrestwich, Steven
dc.identifier.authororcidVisentin, Andrea§0000-0003-3702-4826
dc.identifier.citationO’Connor, C, Bahloul, M, Prestwich, S & Visentin, A 2026, 'The evolution of probabilistic price forecasting techniques: A review of the day-ahead, intra-day, and balancing markets', Energies, vol. 19, no. 8, 1929, pp. 1-39. https://doi.org/10.3390/en19081929
dc.identifier.doi10.3390/en19081929
dc.identifier.endpage39
dc.identifier.issn1996-1073
dc.identifier.issued8
dc.identifier.journaltitleEnergies
dc.identifier.otherRIS: urn:B6AAFF961C15E54725AFB2523085F116
dc.identifier.otherORCID: /0000-0003-3702-4826/work/215732360
dc.identifier.startpage1
dc.identifier.urihttps://hdl.handle.net/10468/18858
dc.identifier.volume19
dc.language.isoen
dc.publisherMultidisciplinary Digital Publishing Institute (MDPI)
dc.relation.urihttps://www.scopus.com/pages/publications/105037215174
dc.relation.urihttps://www.scopus.com/pages/publications/105037215174?origin=resultslist
dc.rights© 2026, by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.
dc.rights.accessrightsopen access
dc.rights.licensenameAttribution 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.statusPeer reviewed
dc.subjectBalancing market
dc.subjectConformal prediction
dc.subjectCosts
dc.subjectDay-ahead market
dc.subjectDecision making
dc.subjectForecasting
dc.subjectIntra-day market
dc.subjectProbabilistic electricity price forecasting
dc.subjectQuantile regression
dc.subjectRegression analysis
dc.subject[ComputerScience]
dc.subject[Insight Centre for Data Analytics]
dc.titleThe evolution of probabilistic price forecasting techniques: A review of the day-ahead, intra-day, and balancing marketsen
dc.typeArticle (peer-reviewed)
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