The energy trading problem in smart grids has been of great interest. In this paper, we focus on two problems: 1. Energy sellers’ inaccurate grasp of users’ real needs causes information asymmetry in transactions, making it difficult for energy sellers to develop more satisfactory pricing strategies for users based on those real needs. 2. The uneven variation of user demand causes the grid costs to increase. In this paper, we design a collaborative pricing strategy based on the seasonal autoregressive integrated moving average-artificial neural network (Sarima-Ann) and an asymmetric Stackelberg game. Specifically, we propose a dissatisfaction function for users and an incentive function for grid companies to construct a utility function for both parties, which introduces an incentive amount to achieve better results in equilibrating user demand while optimizing the transaction utility. In addition, we constructed a demand fluctuation function based on user demand data and introduced it into the game model to predict the demand by Sarima-Ann, which achieves better prediction accuracy. Finally, through simulation experiments, we demonstrate the effectiveness of our scheme in balancing demand and improving utility, and the superiority of our Sarima-Ann model in terms of forecasting accuracy. Specifically, the peak reduction can reach 94.1% and the total transaction utility increase can reach 4.6 × 107, and better results can be achieved by adjusting the incentive rate. Our Sarima-Ann model improves accuracy by 64.95% over Arima and 64.47% over Sarima under MAE metric evaluation, and also shows superior accuracy under other metrics evaluation.