Large Language Models for Forecasting of Electricity Price Spikes
Liang Lin, Jianguo Zhu, Gang Lei, Allen Wang, Xin Lu
Abstract
Can market notices read by a large language model (LLM) improve short-horizon electricity price spike forecasts? We study five regions of Australia's National Electricity Market. A local LLM extracted features once per notice, only notices visible at the forecast origin were used, and a gradient-boosting model produced onset probabilities. In an out-of-sample development back-test (July 2022 to July 2024), notice features did not lower the 60-minute Brier score of a numeric model including the market operator's next-hour forecasts. At 24 hours they did, but rule-based features did so almost equally and attribution to notice content was not established. A locally frozen protocol, not publicly deposited, governed a retrospective single-use holdout from 15 August to 17 October 2026. At 60 minutes, the hypothesis that LLM features lower the numeric model's Brier score was not established (H1; relative Brier skill -0.09%), so the planned comparison with rule-based features was not tested (H2). At 24 hours, the hypothesis that LLM features lower the score against a text-free control was not established (H3; +0.37%, 95% CI [-9.74, 1.39], inconclusive). By the frozen wording rule the non-significant 24-hour improvement comes mainly from recalibration and cannot be attributed to notice content, although post hoc the decomposition could not separate recalibration from resolution. The 24-hour base rate was 1.56% on the holdout against 14.0% in development. With 5 onsets on 3 days and 24-hour positives in 2 of 22 three-day blocks, the holdout neither established nor excluded a 24-hour effect.