The Hidden Look-Ahead: Point-in-Time Leakage in Electricity Market Data
Empirical studies of electricity prices routinely state that their models use only information available at the time of the trading decision. For weather-driven forecasts drawn from commercial archives, this condition is harder to meet than it appears, and whether it holds can change over time. We identify three timing pitfalls. A forecast run is labelled by the issue time of its weather model, but becomes available hours later and keeps changing after publication. Auction gates follow local clock time, while archives use UTC. Outturn series are revised after publication without earlier values being kept. Using the timestamps of 128,656 forecast runs from ten weather-model configurations,...
| Authors | Abdelkrim Alfalah |
|---|---|
| Primary category | cs.LG |
| Published | 18 October 2026 |
| Last updated at source | 18 October 2026 |
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