# Energy Price Modelling: A Comparative Evaluation of four Generations of Forecasting Methods

arXiv: https://arxiv.org/abs/2411.03372 · HTML: https://mlsanity.com/paper/2411.03372/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- Builds on 22 of its 51 references that are in the map.
- First posted on arXiv 5 Nov 2024.

## Builds on (most cited first, 22 of 22)

- [Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecasting](https://mlsanity.com/paper/2012.07436/) (2020)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting](https://mlsanity.com/paper/2106.13008/) (2021)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting](https://mlsanity.com/paper/2201.12740/) (2022)
- [Chronos: Learning the Language of Time Series](https://mlsanity.com/paper/2403.07815/) (2024)
- [Time-LLM: Time Series Forecasting by Reprogramming Large Language Models](https://mlsanity.com/paper/2310.01728/) (2023)
- [A decoder-only foundation model for time-series forecasting](https://mlsanity.com/paper/2310.10688/) (2023)
- [One Fits All:Power General Time Series Analysis by Pretrained LM](https://mlsanity.com/paper/2302.11939/) (2023)
- [Large Language Models Are Zero-Shot Time Series Forecasters](https://mlsanity.com/paper/2310.07820/) (2023)
- [TSMixer: An All-MLP Architecture for Time Series Forecasting](https://mlsanity.com/paper/2303.06053/) (2023)
- [Large Language Models as General Pattern Machines](https://mlsanity.com/paper/2307.04721/) (2023)
- [Large Language Models for Time Series: A Survey](https://mlsanity.com/paper/2402.01801/) (2024)
- [Lag-Llama: Towards Foundation Models for Probabilistic Time Series Forecasting](https://mlsanity.com/paper/2310.08278/) (2023)
- [Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark](https://mlsanity.com/paper/2008.08004/) (2020)
- [TimeCMA: Towards LLM-Empowered Multivariate Time Series Forecasting via Cross-Modality Alignment](https://mlsanity.com/paper/2406.01638/) (2024)
- [A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges](https://mlsanity.com/paper/2406.11903/) (2024)
- [BasisFormer: Attention-based Time Series Forecasting with Learnable and Interpretable Basis](https://mlsanity.com/paper/2310.20496/) (2023)
- [Electricity Price Forecasting: The Dawn of Machine Learning](https://mlsanity.com/paper/2204.00883/) (2022)
- [Can LLMs Learn Macroeconomic Narratives from Social Media?](https://mlsanity.com/paper/2406.12109/) (2024)
- [Enhancing Exchange Rate Forecasting with Explainable Deep Learning Models](https://mlsanity.com/paper/2410.19241/) (2024)
- [The Iberian Exception: An overview of its effects over its first 100 days](https://mlsanity.com/paper/2309.02608/) (2023)

## Built on by (most cited first, 2 of 2)

- [Benchmarking Pre-Trained Time Series Models for Electricity Price Forecasting](https://mlsanity.com/paper/2506.08113/) (2025)
- [NSW-EPNews: A News-Augmented Benchmark for Electricity Price Forecasting with LLMs](https://mlsanity.com/paper/2506.11050/) (2025)

## Abstract (arXiv)

Energy is a critical driver of modern economic systems. Accurate energy price forecasting plays an important role in supporting decision-making at various levels, from operational purchasing decisions at individual business organizations to policy-making. A significant body of literature has looked into energy price forecasting, investigating a wide range of methods to improve accuracy and inform these critical decisions. Given the evolving landscape of forecasting techniques, the literature lacks a thorough empirical comparison that systematically contrasts these methods. This paper provides an in-depth review of the evolution of forecasting modeling frameworks, from well-established econometric models to machine learning methods, early sequence learners such LSTMs, and more recent advancements in deep learning with transformer networks, which represent the cutting edge in forecasting. We offer a detailed review of the related literature and categorize forecasting methodologies into four model families. We also explore emerging concepts like pre-training and transfer learning, which have transformed the analysis of unstructured data and hold significant promise for time series forecasting. We address a gap in the literature by performing a comprehensive empirical analysis on these four family models, using data from the EU energy markets, we conduct a large-scale empirical study, which contrasts the forecasting accuracy of different approaches, focusing especially on alternative propositions for time series transformers.