# Data-driven Day Ahead Market Prices Forecasting: A Focus on Short Training Set Windows

arXiv: https://arxiv.org/abs/2506.10536 · HTML: https://mlsanity.com/paper/2506.10536/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 2 of its 34 references that are in the map.
- First posted on arXiv 12 Jun 2025.

## Builds on (most cited first, 2 of 2)

- [Recurrent Neural Networks for Time Series Forecasting: Current Status and Future Directions](https://mlsanity.com/paper/1909.00590/) (2019)
- [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)

## Abstract (arXiv)

This study investigates the performance of machine learning models in forecasting electricity Day-Ahead Market (DAM) prices using short historical training windows, with a focus on detecting seasonal trends and price spikes. We evaluate four models, namely LSTM with Feed Forward Error Correction (FFEC), XGBoost, LightGBM, and CatBoost, across three European energy markets (Greece, Belgium, Ireland) using feature sets derived from ENTSO-E forecast data. Training window lengths range from 7 to 90 days, allowing assessment of model adaptability under constrained data availability. Results indicate that LightGBM consistently achieves the highest forecasting accuracy and robustness, particularly with 45 and 60 day training windows, which balance temporal relevance and learning depth. Furthermore, LightGBM demonstrates superior detection of seasonal effects and peak price events compared to LSTM and other boosting models. These findings suggest that short-window training approaches, combined with boosting methods, can effectively support DAM forecasting in volatile, data-scarce environments.