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Forecasting short-term electricity market prices has been the focus of several studies in recent years. Although various approaches have been examined, achieving sufficiently low forecasting errors has not been always possible. However, certain applications, such as demand-side management, do not require exact values for future prices but utilize specific price thresholds as the basis for making short-term scheduling decisions. In this paper, classification of future electricity market prices with respect to pre-specified price thresholds is introduced. Two alternative models based on support vector machines are proposed in a multi-class, multi-step-ahead price classification context. Numerical results are provided for classifying prices in Ontario's and Alberta's markets.