Dalgalı Elektrik Piyasalarında Fiyat Belirleyicileri Analizi: Açıklanabilir Yapay Zeka Çerçevesi

Öz

Yenilenebilir enerji kaynaklarının entegrasyonu, elektrik piyasalarına önemli ölçüde oynaklık (dalgalılık, volatilite) getirmiş ve geleneksel tahmin modellerini yetersiz kılmıştır. Gelişmiş makine öğrenmesi modelleri üstün doğruluk sunsa da bu modellerin kara kutu doğası, risk yönetimi için yorumlanabilir analizlere ihtiyaç duyan piyasa katılımcıları açısından kritik bir güven boşluğu yaratmaktadır. Bu çalışma, gelişmekte olan ekonomilerde Gün Öncesi Piyasası (GÖP) fiyatlarını tahmin etmek için yorumlanabilir ve açıklanabilir bir yapay zeka çerçevesi geliştirerek bu sorunu ele almaktadır. Yüksek döviz kuru oynaklığına sahip piyasalar için temsil niteliğinde bir vaka çalışması olarak Türkiye'nin kullanıldığı bu araştırmada, yedi tahmin algoritması kıyaslanmıştır. Diebold-Mariano testi aracılığıyla istatistiksel olarak anlamlı bir üstünlük sergileyen LightGBM, en uygun model olarak öne çıkmaktadır. Özellikle, modelin ekonomik teoriye uygunluğunu doğrulamak amacıyla SHAP yöntemi kullanılmış; böylece modelin doğrusal olmayan Liyakat Sırası Etkisini (Merit Order Effect) bağımsız olarak öğrenebilme yeteneği teyit edilmiştir. Şeffaf olmayan tahminleri açıklanabilir ekonomik sinyallere dönüştüren bu çerçeve, tahmin doğruluğu ile paydaş güveni arasındaki boşluğu doldurmakta ve yüksek riskli enerji ticareti ortamlarında karar verme süreçleri için güçlü bir araç sunmaktadır.

Anahtar Kelimeler

• Elektrik Fiyat Tahmini
• Açıklanabilir Yapay Zeka
• Liyakat Sırası Etkisi
• LightGBM
• SHAP
• Enerji Ekonomisi

Destekleyen Kurum

Türkiye Bilimsel ve Teknolojik Araştırma Kurumu (TUBITAK)

Proje Numarası

222M440

Etik Beyan

Yazarlar herhangi bir çıkar çatışması olmadığını beyan ederler.

Teşekkür

Bu çalışma, Türkiye Bilimsel ve Teknolojik Araştırma Kurumu (TUBITAK) ARDEB 3501 programı kapsamında 222M440 numaralı hibe sözleşmesiyle finanse edilmiştir.

Unveiling Price Drivers in Volatile Electricity Markets: An Explainable AI Framework

Öz

The integration of renewable energy sources has introduced significant volatility into electricity markets, rendering traditional forecasting models insufficient. While advanced Machine Learning models offer superior accuracy, their black-box nature creates a critical trust gap for market participants who require interpretable insights for risk management. This study addresses this challenge by developing an interpretable and explainable AI framework for forecasting day-ahead market prices in emerging economies. Using Türkiye as a representative case study for markets with high currency volatility, we benchmark seven forecasting algorithms. LightGBM emerges as the best model, demonstrating statistically significant superiority via the Diebold-Mariano test. Notably, we utilize SHapley Additive exPlanations (SHAP) to validate the model against economic theory, thereby confirming its ability to learn the non-linear merit order effect independently. By transforming opaque predictions into explainable economic signals, this framework bridges the gap between predictive accuracy and stakeholder trust, offering a robust tool for decision-making in high-stakes energy trading environments.

Anahtar Kelimeler

• Electricity Price Forecasting
• Explainable Artificial Intelligence
• Merit Order Effect
• LightGBM
• SHAP
• Energy Economics

Destekleyen Kurum

the Scientific and Technological Research Council of Türkiye (TUBITAK)

Proje Numarası

222M440

Etik Beyan

The authors declare no conflict of interest.

Teşekkür

This work has received funding from the Scientific and Technological Research Council of Türkiye (TUBITAK) ARDEB 3501 program under grant agreement 222M440.

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