I. Introduction
A high level of intermittent wind generation may result in frequent high prices and high levels of price volatility in electricity markets [1]–[3] . High levels of price volatility in a market refers to a situation in which the market price varies in a wide range. For example, one hundred hours with highest levels of electricity prices resulted in 21% of the annual monetary market share in 2015 in South Australia, which is a highly price volatile region in Australia's National Electricity Market (NEM) [4]. Price volatility makes the task of price prediction highly uncertain, which consequently imposes large financial risks on the market participants.