Tomasz Serafin, Bartosz Uniejewski
arXiv 24 Nov 2024 · Econometrics
arXiv:2411.17743 · PDF · DOI · OpenAlex · Extracted main text
In this study, we introduced various statistical performance metrics, based on the pinball loss and the empirical coverage, for the ranking of probabilistic forecasting models. We tested the ability of the proposed metrics to determine the top performing forecasting model and investigated the use of which metric corresponds to the highest average per-trade profit in the out-of-sample period. Our findings show that for the considered trading strategy, ranking the forecasting models according to the coverage of quantile forecasts used in the trading hours exhibits a superior economic performance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Uniejewski, B (2024) Smoothing quantile regression averaging: A new approach to probabilistic forecasting of electricity prices self | 1.000 | 7 | 3 | 100% |
| 2 | Maciejowska, K., Serafin, T., Uniejewski, B (2024) Probabilistic forecasting with a hybrid factor-qra approach: Application to electricity trading self | 1.000 | 6 | 4 | 100% |
| 3 | Gneiting, T., Raftery, A (2007) Strictly proper scoring rules, prediction, and estimation | 0.843 | 3 | 3 | 100% |
| 4 | Maciejowska, K., Uniejewski, B., Weron, R (2023) Forecasting electricity prices self | 0.737 | 3 | 2 | 100% |
| 5 | Yardley, E., Petropoulos, F (2021) Beyond error measures to the utility and cost of the forecasts | 0.644 | 2 | 2 | 100% |
| 6 | Kath, C., Ziel, F (2021) Conformal prediction interval estimation and applications to day-ahead and intraday power markets | 0.511 | 2 | 1 | 100% |
| 7 | Chatfield, C (1993) Calculating interval forecasts | 0.405 | 1 | 1 | 100% |
| 8 | Fernandes, M., Guerre, E., Horta, E (2021) Smoothing quantile regressions | 0.405 | 1 | 1 | 100% |
| gia:bun:17 | unmatched citation key gia:bun:17 | 0.405 | 1 | 1 | 100% |
| 10 | Grushka-Cockayne, Y., Lichtendahl Jr, K.C., Jose, V.R.R., Winkler, R.L (2017) Quantile evaluation, sensitivity to bracketing, and sharing business payoffs | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 23 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy | 0.405 | 1 | 1 |