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Event-Based Limit Order Book Representations for Probabilistic VWAP Forecasting in Intraday Electricity Markets

Justin Hellermann; Stefan Lessmann

Published
Publisher
Elsevier BV
Research area
Energy & infrastructure
Source type
Preprint / posted paper
DOI
10.2139/ssrn.7115109

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Justin Hellermann; Stefan Lessmann. Event-Based Limit Order Book Representations for Probabilistic VWAP Forecasting in Intraday Electricity Markets. Elsevier BV. 2026. https://doi.org/10.2139/ssrn.7115109

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