2020 IEEE PES Innovative Smart Grid Technologies Europe (ISGT-Europe)
Virtual, October 26-28, 2020
Cross-Market Price Difference Forecast Using Deep
Learning for Electricity Markets
Ronit Das, Rui Bo, Waqas Ur Rehman, Haotian Chen, and Donald Wunsch
Department of Electrical and Computer Engineering
Missouri University of Science and Technology, Rolla USA (rbo@mst.edu)
Abstract—Price forecasting is in the center of decision making
in electricity markets. Many researches have been done in
forecasting energy prices while little research has been reported
on forecasting price difference between day-ahead and real-
time markets due to its high volatility, which however plays
a critical role in virtual trading. To this end, this paper takes
the first attempt to employ novel deep learning architecture with
Bidirectional Long-Short Term Memory (LSTM) units to forecast
the price difference between day-ahead and real-time markets
for the same node. The raw data is collected from PJM market,
processed and fed into the proposed network. The Root Mean
Squared Error (RMSE) and customized performance metric are
used to evaluate the performance of the proposed method. Case
studies show that it outperforms the traditional statistical models
like ARIMA, and machine learning models like XGBoost and
SVR methods in both RMSE and the capability of forecasting
the sign of price difference. In addition to cross-market price
difference forecast, the proposed approach has the potential to be
applied to solve other forecasting problems such as price spread
forecast in DA market for Financial Transmission Right (FTR)
trading purpose.
Index Terms—DA/RT price difference, forecasting, Long-Short
Term Memory, LSTM, electricity markets, deep learning
I. I NTRODUCTION
With the evolution of competitive deregulated power mar-
kets, forecasting of electricity prices has become a vital task
for market participants: accurate prediction of short-term elec-
tricity prices is crucial for generation companies (GENCOs) to
make optimal bidding strategies for participation in electricity
market, and thereby get maximum profit. Medium-term price
forecast information is utilized by power producers to enter
into favorable bilateral contracts. In the long-term, GENCOs
use price forecasting for making investment decisions related
to generation capacity planning and maintenance planning.
Load serving entities (LSEs) and large consumers also require
accurate forecast of short-term and medium-term electricity
prices in order to bid optimally in the electricity market and
sign favorable bilateral contracts [1]–[3].
In electricity market, market clearing price (MCP) is a very
fundamental pricing concept and it is a single price for the
entire system when there is no transmission congestion (or
bottleneck) in the system; however, for a congested system,
the electricity price may be dissimilar at different buses in
the system, and therefore called locational marginal price
(LMP) [2]. The most distinctive property associated with the
price of electricity is its volatile nature; unlike load curve,
the electricity price curve is non-homogeneous and exhibits
very little cyclic property which makes it very difficult to
predict. The price volatility and spikes (sudden rise or fall) can
be caused by a mixture of many factors, including changing
fuel prices, transmission congestion, generation uncertainty
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and availability, load uncertainty, market participants behav-
ior, gaming activities, and weather conditions [2]. The price
difference between the day-ahead (DA) and real-time (RT)
prices become even more volatile and unpredictable due to
the discrepancy between forecasted market condition in the
DA market and the realized uncertainties in the RT market.
II. M OTIVATION AND R ELATED W ORK
A. Motivation
Financial Transmission Right (FTR) auctions market - a
financial derivative market - serves the purpose of hedging
against transmission congestion cost, and thus provides price
certainty to market participants. LMP in DA and RT markets
can be dissimilar due to the volatile nature of electricity price
itself as well as the discrepancy between the two markets
reflecting the changes in real-time versus day-ahead schedule.
Virtual bidding - another type of financial mechanism was
introduced in the electricity markets with the aim of improving
DA and RT price convergence. Based on LMP forecasts,
virtual bidders (VBs) can participate as demand (or supply) in
DA market and correspondingly viewed as supply (or demand)
in RT market with the same amount of energy; their profits
are highly contingent upon the difference in LMP across these
two markets [4]. To our knowledge, the cross-market LMP
difference forecasting has not been reported in the literature.
Hence, a novel forecasting model of LMP difference between
DA and RT markets using bidirectional LSTM network is
proposed in this paper. It is, therefore, envisaged that VBs
can utilize the forecasted LMP difference across markets to
partake in the electricity market in a more strategic fashion
to increase their chances of making profit in virtual trading,
which collectively will help the two markets better converge.
B. Related Work
In the literature, electricity price forecasting has generally
been approached using statistical methods like Autoregressive
Integrated Moving Average (ARIMA) and Wavelet Transform
[5], Generalized Autoregressive Conditional Heteroskedastic-
ity (GARCH) models [6], etc. These methods can produce
good performance and can be explained mathematically, mak-
ing them a frequent choice in price forecasting. Traditional
machine learning methods like Support Vector Regression
(SVR), Gradient Boosting Decision Trees, Random Forests,
etc. are also widely used with good accuracy. However, with
recent advancements in neural networks, Artificial Neural Nets
(ANNs) have also been used for forecasting prices [2].
While forecasting of LMP in electricity markets has been a
well-researched topic, forecasting price difference across DA
854
 and RT markets hasn’t been looked into. Recently, [7] pub-
lished a Markov-Switching GARCH model to model volatility
within Day-ahead market price spread values. Little to no
research has been reported on forecasting price differences
between DA and RT markets. This paper proposes deep
learning models, especially using Bidirectional Long-Short
Term Memory (LSTM) networks, to forecast the cross-market
price difference. For the purpose of potential application in
virtual bidding, in addition to common prediction accuracy
measures such as RMSE, we also pay special attention to
whether the direction of the price difference can be correctly
forecasted at the right time instances.
As the first attempt in this research area, this work takes on
the problem of forecasting the DA/RT price difference for the
next hour. It may be used for bidding strategy development for
RT Market participants, or used for dispatch optimization for
energy-limited resources by an Independent System Operator
(ISO). The proposed method in this paper may be further
extended for multi-hour price forecast which will suit the need
of other applications including virtual bidding.
III. M ETHODOLOGY
This section is divided into the following subsections:
subsection A discusses about the data to be trained upon by the
proposed networks, subsection B introduces the fundamentals
and benefits of deep learning approaches, and the importance
of Recurrent Neural Networks in time series prediction. It is
followed by subsection C which discusses processing the input
data for the networks, and subsection D discusses the network
architecture for the proposed models.
A. Data Collection and Visualization
The data is collected from the PJM Market from 1st January
till 31st December, 2016. The collected data is from both the
DA and RT markets on an hourly basis. For our purpose, a
generator node is chosen at random. Then price differences
are calculated for the node across the DA and RT markets. In
this paper, we stationarize the series by differencing [8]. The
data for cross-market can be visualized as shown in Fig.1.
Fig. 1. Price difference between Day-Ahead & Real-Time Markets at node
02BRUSH in PJM Market in 2016
It can be observed that the price difference data exists
for every hour in the plot. This is an example of a time
series data. Time series forecasting is very common in many
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fields like weather forecasting, predicting stock market indices,
etc. Although statistical methods have dominated this field of
time series prediction, deep learning approaches provide an
alternative and potentially more powerful way to tackle such
problems [9].
B. Deep Learning
Machine learning has become so ubiquitous that it has been
applied to almost every corner of our modern lives. From
weather forecasting, to recommendation engines, from tagging
friends on social media using image classification, to name
a few. However, traditional machine learning methods like
Support Vector Machines, Decision Trees, k-Nearest Neigh-
bors, etc. have been limited in their abilities to process raw
data [10], whereas deep learning techniques are able to learn
an implicit representation of the raw data on their own. As
mentioned in [10], Deep Learning is a kind of representation
learning where several simple, non-linear modules (or neural
layers) are combined and each module or layer transforms
the representation at one level into another one at a more
abstract level. In this way, with more such transformations,
difficult and complex functions are learnt. Recently, deep
learning methods have outperformed other machine learning
techniques in image classification [11], speech recognition
[12], reconstructing brain circuits [13], etc.
The simplest form of deep learning is a Multi Layer
Perceptron, or sometimes referred to as an Artificial Neural
Network (ANN). ANN’s have been used in prediction of time
series models [14] with good results. In recent years, improved
algorithms have been designed and developed. Nowadays,
Recurrent Neural Networks(RNNs) have gained popularity in
time series prediction. RNNs have the capability to learn the
temporal context of the input sequence of data, which it uses
to make predictions. Since RNNs excel at sequence modelling,
they are mostly used for speech recognition [15], forecasting
[16], etc. However, RNNs may suffer from a major issue. As
they take inputs as time sequences, they may suffer from the
vanishing and, or exploding gradient problem [17], whereby
the gradients which backpropagate fail to update the weights
thereby preventing the network from getting trained. For this
reason, variants of the RNN like the Long-Short Term Memory
(LSTM) have gained popularity. This paper implements a
neural network architecture with Long-Short Term Memory
units, which is discussed below.
1) Long-Short Term Memory: The Long-Short Term Mem-
ory is a kind of Recurrent Neural Network which can capture
both long-term and short-term dependencies in the data, mak-
ing is suitable for forecasting, speech recognition, etc. It was
proposed by Hochreiter, et al. [18] in 1997. The following
figure explains the workings of an LSTM cell:
In Fig.2, ht−1 and xt are the inputs to the cell. The Cell
state is what maintains the information in the cell, denoted by
Ct−1 . The first sigmoidal layer, denoted by σ forms the ”Forget
Gate”, which controls how much information to retain, defined
by
ft = σ(Wf .[ht−1 , xt ] + bf )
where σ stands for the sigmoid activation function, Wf repre-
sents the weight matrix of the input connections for the forget
gate, bf represents the bias vector for the forget gate, and ft
 Fig. 2. An LSTM cell. Source: [19]
represents the forget gate’s activation vector. After this phase,
the next sigmoidal layer is known as the ”Input Gate” which
decides the values to be updated, and the next tanh layer selects
the candidate values to be added to the state, denoted as Ĉt .
The formulae are listed as follows:
it = σ(Wi .[ht−1 , xt ] + bi )
where σ stands for the used activation function, Wi represents
the weight matrix of the input connections for the input gate,
bi represents the bias vector for the input gate, and it stands
for the input gate activation vector.
Ĉt = tanh(WC .[ht−1 , xt ] + bC )
where tanh is the activation function, WC represents the
weight matrix of the input connections for the cell input, bC
represents the bias vector for the cell input, and Ĉt represents
the cell input activation vector. Finally, the cell state is updated
from Ct−1 to Ct .
Ct = ft ∗ Ct−1 + it ∗ Ĉt
From this state, we push the value to be output, as ht as
follows:
ot = Wo .[ht−1 , xt ] + bo
ht = ot ∗ tanh(Ct )
where ot is the output gate’s activation vector.
2) Bidirectional LSTM: It is similar to an LSTM network.
A bidirectional network trains 2 LSTM networks on the
input sequence, instead of just one. The first one is the
input sequence itself and the second is the reversed copy of
the input sequence. First invented by Schuster and Paliwal
[20], bidirectional networks usually deliver better results when
compared to regular recurrent networks. An example of the
bidirectional LSTM model is illustrated in the Fig.3.
Fig.3 shows the structure of single Bidirectional LSTM
cells, stacked on top of one another. In this figure, the cells
are unrolled into 48 time-steps. The input at every time-step
is fed into the forward network and the backward network.
Finally, the outputs from the forward and backward networks
are concatenated and passed through an activation function to
finally get the output. The proposed bidirectional LSTM model
in this paper uses this structure but at every layer, there are
different number of LSTM neurons, which is listed in Table I.
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Fig. 3. A representational diagram of 4 single Bidirectional LSTM cells
stacked on top of each other
C. Preprocessing
After collection of the data, it is processed in the following
ways:
1) Train and Test Sets: In order to train a neural network,
the dataset needs to be split into separate training and testing
sets. The idea is to train the model on the training set and
fit the parameters of the neural network architecture on the
train set. After the fit is complete, the model is used to make
predictions on a separate test set.
Time series data has temporal dependencies. It is for this
reason, the data is not randomly shuffled before splitting it
into separate sets. In this paper, 80% of the entire dataset is
used for training, 20% is used for testing.
2) Feature Scaling: The range of values in raw data can
vary widely. This affects training a neural network architecture,
since the cost function which we try to minimize, may not
work properly. Moreover, with feature scaling, gradient de-
scent algorithm converges faster. It is for these reasons, every
feature is scaled. In our case, since the data has quite a number
of extreme values/outliers, Robust Scaler is used, as the scaling
of data is not influenced by the outliers.
The scaling is applied to the training and test data separately.
This is done to ensure that no bias is present in the test set,
since they are not known to the network beforehand.
3) Creating Input data: Time series forecasting requires
one to look back at historical prices. Although the LSTM
network does not require one to specify the lags, we want to
convert our problem into a supervised learning one. In order
to do that, we need to specify the lag, i.e., the number of time
steps (or hours in our case) to look back in order to make the
prediction for the next hour. In our case, we choose the lag,
L = 48, for the cross-market problem. It should be noted that,
in practice the historical prices for the lag are available at the
time of performing the forecast.
D. Network Architecture
A network model is developed to implement a bidirectional
LSTM architecture. The architecture and design parameters of
the model are described in Table I.
Regularization is applied to the network in order to prevent
it from overfitting. It is applied in the form of dropout to both
the networks, after every bidirectional LSTM layer. A dropout
of 20% is applied to every layer.
 TABLE I Since the given time series was already time differenced,
B IDIRECTIONAL LSTM MODEL FOR CROSS - MARKET PRICE DIFFERENCE the degree of differencing needed was 0. With this ARIMA
FORECAST
model, it was tested on the test set values and the forecast
performance result is shown in Table II.
Hidden Layers Neurons(forward & reversed sequence)
XGBoost is an open-source software library which imple-
Hidden Layer 1 500 + 500
Hidden Layer 2 300 + 300
ments gradient boosted decision trees for speed and perfor-
Hidden Layer 3 100 + 100 mance. Boosting is a type of ensemble technique where new
Hidden Layer 4 25 + 25 machine learning models are added to improve upon the errors
Output Layer 1 made by the existing models. Models are added gradually and
Loss Function L2(Least Square Errors) sequentially until no further improvements in the error can be
Gradient Descent Optimizer Adamax
Batch Size 32 made. [22] uses XGBoost model for price forecasting, with
good accuracy.
Support Vector Regression is a very common machine
learning algorithm for solving regression problems. Authors
IV. R ESULTS AND D ISCUSSION in [23] use SVR technique to forecast prices in the electricity
A. Results markets.
For the SVR and XGBoost algorithms, the time lag used is
The networks are implemented using Keras library with
equal to 48, as used for the bidirectional LSTM model. The
Tensorflow backend. They are trained for 100 epochs. Our
performance comparison of the algorithms is shown in Table
models try to predict the next hour’s price difference value.
II.
Root Mean Squared Error (RMSE) values are used to measure
the models’ performance, especially on unseen data. Moreover,
TABLE II
the snapshots of the plots are analyzed in order to determine P ERFORMANCE C OMPARISON AMONG DIFFERENT F ORECASTING
whether the trained algorithm is able to capture the spikes in T ECHNIQUES
the correct direction and at the right timestep.
Model RMSE ($/MWh) Direction Accuracy (%)
For virtual trading purpose, it is sometimes equally impor- ARIMA(5, 0, 1) 45.186 48.36
tant to predict the sign of the price difference, rather than the SVR 40.544 55.1
magnitude. In order to capture the performance in this regard, XGBoost 40.194 56.05
Bidirectional LSTM 32.209 57.82
a separate metric is devised. We define Direction of Difference
as follows:
n Moreover, Fig.4 and Fig.5 show in time series the cross-
Direction Dif f erence = ( ∗ 100)
N market price difference forecasting performance of the differ-
where n = no. of correctly detected direction (or sign) of price ent models for different time windows in 2016.
difference, N = total number of price differences. Since the
series are already time differenced, the value of n is determined
by whether the predicted and actual values have the same sign,
i.e., both have positive or negative sign at the same timestep.
In order to compare how the proposed model performs, it’s
performance is compared against that of other popular methods
like Auto-Regressive Integrated Moving Average (ARIMA),
Gradient Boosted Decision Trees (XGBoost), and Support
Vector Regression (SVR).
Moreover the proposed method is compared against the
following statistical and machine-learning methods, and the
processed data (stationary and scaled) which was used for Fig. 4. Actual and forecasted cross-market price difference of different models
training the Bidirectional LSTM model, is used. from Oct. 26 to Oct. 27, 2016 in PJM Market
ARIMA is a very popular method which has been used to
forecast market clearing prices reliably and accurately [21].
ARIMA belongs to a category of stochastic processes which B. Discussion
is used to model a time series. In order to fit an ARIMA model The performance scores, i.e. the RMSE values, indicate how
to a time series data, the given series needs to be stationary. good our model performs with respect to the other machine
Moreover, the time lag values for the Auto-regressive part (p), learning and ARIMA methods. RMSE can be interpreted as the
the degree of differencing (d), and that for the Moving Average standard deviation of the unexplained variance. Also, RMSE
part (q) needs to be specified. values in our case is in the unit of U SD/M W h. A lower
For the given time series, the statistical software R was RMSE score indicates a better fit to the model. For our
used to build an ARIMA model. Using the automatic model analysis, the test RMSE values are of more importance which
selection feature of the software, the best ARIMA model was indicate how well our model performs, especially on unseen
fit to the training dataset with the following parameter values: data and how well it generalizes. From Table.II, we can see
p = 5, d = 0, q = 1. bidirectional LSTM approach produces significantly smaller

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Fig. 5. Actual and forecasted cross-market price difference of different models
from Nov.5 to Nov.7, 2016 in PJM Market
RMSE than other methods, and also gives the highest accuracy
in forecasting the direction of cross-market price differences.
Moreover, a careful investigation of Fig.4 and Fig.5 reveals
that the bidirectional LSTM approach is able to predict more
percentage of the spikes of cross-market price differences,
which the other methods find difficult.
Finally, for virtual bidders participating in the DA market, a
model capable of predicting the direction of the price as well
as its magnitude, is of utmost importance. Our proposed model
provides a promising solution.
V. C ONCLUSION AND F UTURE W ORK
This paper proposed a deep, bidirectional Long-Short Term
Memory architecture to forecast nodal LMP difference be-
tween the DA and RT markets. The model’s forecasting per-
formances are measured using the Test RMSE values, which
shows the model has some generalization ability. The model’s
capabilities in correctly forecasting spikes of price difference
at the right timesteps are also demonstrated. The bidirectional
LSTM model is compared with ARIMA, XGBoost and SVR
methods and outperforms all of them both in RMSE and in
correctly forecasting the direction of price differences.
This paper only deals with a univariate time series model,
where one is looking at the price, or rather the price differences
at different time intervals. However, prediction may be further
improved by taking into account other influencing factors.
Another issue with deep learning techniques like LSTMs is
that, they take considerable amount of time to train. With
an increase in the number of epochs, the time for training
also increases. Moreover, with an increase in the lag size,
the performance can change, and many times improve further.
Lastly, the proposed model currently only forecasts price
difference for the next hour. It should be expanded to multi-
hour (such as 24 hours in US electricity markets) to align with
industry practices.
Future research includes expanding this approach to multi-
variate time series forecasting, including different lag sizes and
training it for more epochs, and forecasting multi-hour price
differences.
VI. ACKNOWLEDGMENT
This material is based upon work supported by DARPA
under Grant D18AP00054, and by the U.S. Department of
Energy’s Office of Energy Efficiency and Renewable Energy
(EERE) under the Water Power Technologies Office Award
Number DE-EE0008781.
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