In the paper that has been written by Ezgi Avci, Wolfgang Ketter and Eric van Heck, three key forecasting challenges in electricity day ahead auctions are investigated. Further Highlights:

• Focus lies on individual model selection, multi-seasonality and transparency issues.
• Looking from ex-post criteria, using ensemble models does not increase accuracy significantly.
• According to an ex-ante setting, using ensemble models are useful to manage price modeling risk.
• Considering fractal dynamics of price could improve decision making of policy makers.

You can have a closer look at the paper here!