Title: A Holistic Approach to Forecasting Wholesale Energy Market Prices,
Abstract: Electricity market price predictions enable energy market participants to
shape their consumption or supply while meeting their economic and
environmental objectives. By utilizing the basic properties of the
supply-demand matching process performed by grid operators, we develop a method
to recover energy market's structure and predict the resulting nodal prices as
a function of generation mix and system load on the grid. Our methodology uses
the latest advancements in compressed sensing and statistics to cope with the
high-dimensional and sparse power grid topologies, underlying physical laws, as
well as scarce, public market data. Rigorous validations using Southwest Power
Pool (SPP) market data demonstrate significantly higher accuracy of the
proposed approach when compared to the state-of-the-art industry benchmark.