Open-access benchmark dataset for day-ahead electricity prices

Dataset comprising data from five day-ahead electricity markets: <strong>Nord pool:</strong> The Nord pool day-ahead electricity market, one of the largest European power market. <strong>PJM:</strong> The zonal prices of the COMED area in the <em>Pennsylvania-New Jersey-Maryland</em> (PJM) market. <strong>EPEX-FR:</strong> The French day-ahead electricity market. <strong>EPEX-BE:</strong> The Belgian day-ahead electricity market. <strong>EPEX-DE</strong>: The German day-ahead electricity market. Each market contains 6 years of data (we consider a year to be 364 days to have an integer number of weeks). The specific dates are: <strong>Nord pool:</strong> 01.01.2013 – 24.12.2018 <strong>PJM:</strong> 01.01.2013 – 24.12.2018 <strong>EPEX-FR:</strong> 09.01.2011 – 31.12.2016 <strong>EPEX-BE:</strong> 09.01.2011 – 31.12.2016 <strong>EPEX-DE</strong>: 09.01.2012 – 31.12.2017 Each dataset comprises historical prices and two relevant exogenous inputs based on day-ahead forecasts of price drivers. The day--ahead forecast representing other exogenous inputs are market dependent: <strong>Nord pool:</strong> System load + Wind power generation. <strong>PJM:</strong> System load + Zonal load in the COMED area. <strong>EPEX-FR:</strong> System load + Generation in France <strong>EPEX-BE:</strong> System load in France + Generation in France <strong>EPEX-DE</strong>: Zonal load in the TSO Amprion zone + Aggregated Wind and Solar power generation All datasets are given using the local timezone: <strong>Nord pool:</strong> Central European Time (CET) <strong>PJM:</strong> Eastern Time (ET) <strong>EPEX-FR:</strong> Central European Time (CET) <strong>EPEX-BE:</strong> Central European Time (CET) <strong>EPEX-DE</strong>: Central European Time (CET) For all five datasets, the daylight saving times (DST) are pre-processed by interpolating the missing values in Spring and averaging the values corresponding to the duplicated time indices in Autumn. <strong>DISCLAIMER</strong> We do not own the data, but we simply have gathered it so other researchers can easily test their methods on multiple day-ahead markets. The data has been gathered using the respective websites of each day-ahead market where these data are freely available. The websites we used to gather the data are: <strong>Nord Pool:</strong> Nord pool website <strong>PJM: </strong> PJM website <strong>EPEX-FR:</strong> ENTSO-E transparency platform + RTE website (French TSO) <strong>EPEX-BE:</strong> ENTSO-E transparency platform + RTE website (French TSO) + Elia website (Belgian TSO) <strong>EPEX-DE:</strong> ENTSO-E transparency platform + Amprion TSO website + TenneT website + 50Hertz website