Cross-Market Meta-Learning for Electricity Price Forecasting

Abstract:Day-ahead (DA) electricity price forecasting is usually posed per market, with a separate model fitted to each grid's own history. This caps accuracy: statistical and tree-based baselines saturate, while higher-capacity sequence models need more training data than a single market's few years of hourly prices can supply. Such methods also treat each node as an independent series, discarding the spatial dependencies induced by network topology and congestion. Because price formation across independent system operators (ISOs) is driven by shared physics and largely common market design, we instead treat cross-market history as a pretraining corpus. We present MetaGrid, a topology-aware transformer, meta-trained across markets so that a single zone-count-independent parameter set adapts to an unseen grid. On a leak-free benchmark of five U.S. ISOs, where every model receives the same prices, DA load forecasts and calendar features, MetaGrid attains the lowest average MAE, improving on the best baseline by 3.1\% and on the same architecture trained from scratch by 7.7\%.

Machine Learning (cs.LG); Artificial Intelligence (cs.AI)

arXiv:2610.17387 [cs.LG]

(or arXiv:2610.17387v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2610.17387 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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