# Probabilistic Forecasting of Imbalance Prices in the Belgian Context

arXiv: https://arxiv.org/abs/2106.07361 · HTML: https://mlsanity.com/paper/2106.07361/

## Key facts

- Cited by 8 papers in the map (data through 14 Oct 2026).
- Builds on 0 of its 16 references that are in the map.
- First posted on arXiv 9 Jun 2021.

## Built on by (most cited first, 8 of 8)

- [Probabilistic forecasting of German electricity imbalance prices](https://mlsanity.com/paper/2205.11439/) (2022)
- [Electricity Price Forecasting in the Irish Balancing Market](https://mlsanity.com/paper/2402.06714/) (2024)
- [Predicting and Publishing Accurate Imbalance Prices Using Monte Carlo Tree Search](https://mlsanity.com/paper/2411.04011/) (2024)
- [Conformal Prediction for Electricity Price Forecasting in the Day-Ahead and Real-Time Balancing Market](https://mlsanity.com/paper/2502.04935/) (2025)
- [Optimizing Quantile-based Trading Strategies in Electricity Arbitrage](https://mlsanity.com/paper/2406.13851/) (2024)
- [The Evolution of Probabilistic Price Forecasting Techniques: A Review of the Day-Ahead, Intra-Day, and Balancing Markets](https://mlsanity.com/paper/2511.05523/) (2025)
- [A Market-Rule-Informed Neural Network for Efficient Imbalance Electricity Price Forecasting](https://mlsanity.com/paper/2605.09061/) (2026)
- [Empirical evaluation of Time Series Foundation Models for Day-ahead and Imbalance Electricity Price Forecasting in Belgium](https://mlsanity.com/paper/2605.17045/) (2026)

## Abstract (arXiv)

Forecasting imbalance prices is essential for strategic participation in the short-term energy markets. A novel two-step probabilistic approach is proposed, with a particular focus on the Belgian case. The first step consists of computing the net regulation volume state transition probabilities. It is modeled as a matrix computed using historical data. This matrix is then used to infer the imbalance prices since the net regulation volume can be related to the level of reserves activated and the corresponding marginal prices for each activation level are published by the Belgian Transmission System Operator one day before electricity delivery. This approach is compared to a deterministic model, a multi-layer perceptron, and a widely used probabilistic technique, Gaussian Processes.