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• A novel deep learning-based framework with correlation analysis and parameter optimization is proposed and applied to model day-ahead electricity price scenarios. • The proposed hybrid prediction algorithm named convolutional neural network+stacked sparse denoising auto-encoders has the ability to improve prediction accuracy and stability of results significantly. • The network architecture of convolutional neural network+stacked sparse denoising auto-encoders can accelerate training time and convergence. • ICEEMDAN is introduced into the hybrid prediction framework, which can enhance the performance of hybrid prediction model. Day-ahead electricity price forecasting plays a vital role in electricity markets under liberalization and deregulation, which can provide references for participants in bidding strategies, energy trading, and risk management. However, due to various uncertain factors, electricity prices often exhibit nonlinearity, randomness, and volatility, adding technical difficulties to accurate price forecasting. To address these difficulties, A novel hybrid deep learning-based model named convolutional neural network+stacked sparse denoising auto-encoders is proposed first. Moreover, the improved complete ensemble empirical mode decomposition with adaptive noise, a decomposition method, is introduced to enhance model performance by the decomposition of complex data sequences. Each intrinsic mode function sub-component obtained by decomposition is separately predicted using the proposed hybrid model, and the forecast result of day-ahead prices is superimposed finally. Taking the Australian national electricity market as a case study, the experimental results verify that the proposed hybrid model can effectively improve prediction accuracy and stability, and shows outstanding prediction performance for price spikes. Furthermore, the proposed model can save training time for neural networks in the prediction process thanks to its faster convergence speed. Hence, the proposed deep learning-based hybrid predictive model can provide a technology-based reference for electricity market participants. [Display omitted] [ABSTRACT FROM AUTHOR]