# OrderFusion: Encoding Orderbook for End-to-End Probabilistic Intraday Electricity Price Forecasting

arXiv: https://arxiv.org/abs/2502.06830 · HTML: https://mlsanity.com/paper/2502.06830/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- Builds on 15 of its 54 references that are in the map.
- First posted on arXiv 5 Feb 2025.

## Builds on (most cited first, 15 of 15)

- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Aggregated Residual Transformations for Deep Neural Networks](https://mlsanity.com/paper/1611.05431/) (2016)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting](https://mlsanity.com/paper/2201.12740/) (2022)
- [TimesNet: Temporal 2D-Variation Modeling for General Time Series Analysis](https://mlsanity.com/paper/2210.02186/) (2022)
- [iTransformer: Inverted Transformers Are Effective for Time Series Forecasting](https://mlsanity.com/paper/2310.06625/) (2023)
- [TimeXer: Empowering Transformers for Time Series Forecasting with Exogenous Variables](https://mlsanity.com/paper/2402.19072/) (2024)
- [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)
- [Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories](https://mlsanity.com/paper/2005.01365/) (2020)
- [Multivariate Probabilistic Forecasting of Intraday Electricity Prices using Normalizing Flows](https://mlsanity.com/paper/2205.13826/) (2022)
- [Deep Non-Crossing Quantiles through the Partial Derivative](https://mlsanity.com/paper/2201.12848/) (2022)
- [Monotonicity Regularization: Improved Penalties and Novel Applications to Disentangled Representation Learning and Robust Classification](https://mlsanity.com/paper/2205.08247/) (2022)
- [Forecasting the Intra-Day Spread Densities of Electricity Prices](https://mlsanity.com/paper/2002.10566/) (2020)
- [Bayesian Hierarchical Probabilistic Forecasting of Intraday Electricity Prices](https://mlsanity.com/paper/2403.05441/) (2024)
- [Simulation-based Forecasting for Intraday Power Markets: Modelling Fundamental Drivers for Location, Shape and Scale of the Price Distribution](https://mlsanity.com/paper/2211.13002/) (2022)

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

- [A Market-Rule-Informed Neural Network for Efficient Imbalance Electricity Price Forecasting](https://mlsanity.com/paper/2605.09061/) (2026)
- [Quantile Head for Vision-Language-Action Models](https://mlsanity.com/paper/2609.34061/) (2026)

## Abstract (arXiv)

Probabilistic intraday electricity price forecasting is becoming increasingly important for short-term power-system operation. With increasing renewable generation, demand-side flexibility, and storage assets, market participants need to adjust their positions under uncertainty closer to delivery. Continuous intraday (CID) markets support this process by providing updated price signals, helping participants manage imbalance exposure and operational risk. Unlike auction markets, CID trading in many jurisdictions is characterized by the continuous posting of buy and sell orders. This dynamic orderbook microstructure of price formation presents special challenges for price forecasting. Conventional methods represent the orderbook via domain features aggregated from buy and sell trades, or by treating it as a multivariate time series, but such representations neglect the full buy-sell interaction structure of the orderbook. This research therefore develops a new order fusion methodology, which is an end-to-end and parameter-efficient probabilistic forecasting model that learns a interaction-aware representation of the buy-sell dynamics. Furthermore, as quantile crossing is often a problem in probabilistic forecasting, this approach hierarchically estimates the quantiles with non-crossing constraints. Extensive experiments on CID price indices across high- and low-liquidity European markets demonstrate consistent improvements over conventional baselines, and ablation studies highlight the contributions of the main components.The methodology is available at: https://runyao-yu.github.io/OrderFusion/.