Smart grids are power grids where clients may actively participate in energy production, storage and distribution. Smart grid management raises several challenges, including the possible changes and evolutions in terms of energy consumption and production, that must be taken into account in order to properly regulate the energy distribution. In this context, machine learning methods can be fruitfully adopted to support the analysis and to predict the behavior of smart grids, by exploiting the large amount of streaming data generated by sensor networks. In this article, we propose a novel change detection method, called ECHAD (Embedding-based CHAnge Detection), that leverages embedding techniques, one-class learning, and a dynamic detection approach that incrementally updates the learned model to reflect the new data distribution. Our experiments show that ECHAD achieves optimal performances on synthetic data representing challenging scenarios. Moreover, a qualitative analysis of the results obtained on real data of a real power grid reveals the quality of the change detection of ECHAD. Specifically, a comparison with state-of-the-art approaches shows the ability of ECHAD in identifying additional relevant changes, not detected by competitors, avoiding false positive detections.