Orderbook Feature Learning and Asymmetric Generalization in Intraday Electricity Markets

By Runyao Yu, Ruochen Wu, Yongsheng Han, Jochen L. Cremer

Published 2026-02-15

Everscope rating

1559.3

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Orderbook Feature Extraction, Sparse Feature Selection via LASSO/LQR, Model Benchmarking, and Cross-Domain Generalization Assessment. Problem types: Time Series Forecasting, Probabilistic Forecasting, Feature Selection, Transfer Learning, Regression, Dimensionality Reduction.

arXiv:2510.12685 · Code · Paper rankings

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