Stochastic multifactor modeling of spot electricity prices
نویسندگان
چکیده
منابع مشابه
Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility
Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still puzzling researchers and practitioners. In this paper, we propose an approach to model spot prices t...
متن کاملModeling day–ahead electricity prices
Introducing a production–based approach, we take into account different attitudes and liabilities of market participants to discuss the equilibrium day–ahead prices on electricity. Conditions ensuring the existence of the equilibrium are given and price distribution is considered. We include a discussion of reasons for high price volatility.
متن کاملJoint Modelling of Gas and Electricity spot prices
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The dynamics are based on Ornstein processes with parameterized diffusion coefficients. Moreover, using t...
متن کاملA Jump Diffusion Model for Spot Electricity Prices
In this paper we demonstrate the efficacy of a stochastic modelling approach involving both diffusion and a jump processes to describe the evolution of spot electricity prices in New South Wales. The model allows a deterministic time trend component and an unobserved process driven by both time varying volatility and occasional jumps. The structure allows us to cast the problem in a state space...
متن کاملSpikes and Memory in (nord Pool) Electricity Price Spot Prices
www.stat.unipd.it/fare-ricerca/seminari DIPARTIMENTO DI SCIENZE STATISTICHE UNIVERSITÀ DEGLI STUDI DI PADOVA 2 SPIKES AND MEMORY IN (NORD POOL) ELECTRICITY PRICE SPOT PRICES TOMMASO PROIETTI FULL PROFESSOR OF ECONOMIC STATISTICS DEPARTMENT OF ECONOMICS AND FINANCE UNIVERSITY OF ROME “TOR VERGATA”
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2014
ISSN: 0377-0427
DOI: 10.1016/j.cam.2013.10.008