An hour-ahead prediction model for heavy-tailed spot prices

► Hourly electricity spot market price is heavy-tailed and non-stationary. ► Gaussian jump-diffusion models cannot adequately describe the spot market price. ► We must rely on empirical cumulative distribution functions and quantiles to describe the electricity price process. ► Higher order statistics such as mean and the variance cannot be reliably computed. ► The spot market price is median-reverting and the residual process fits the Cauchy distribution well.