References (20)



Stochastic Models for Spikes and Antispikes in Electricity Prices

Carlo Lucheroni

University of Camerino

January 31, 2011

This paper discusses a rather general approach to build nonlinear dynamic models that reproduce some important aspects of electricity price series, as spike and antispike dynamics. Two specific models are proposed first in a continuous time form, then in four discrete time forms. It is then shown how to use these forms to calibrate the models on market data.

Number of Pages in PDF File: 12

Keywords: Stochastic processes, time series analysis, power system

JEL Classification: C39, D49, G19, L11

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Date posted: May 18, 2011  

Suggested Citation

Lucheroni, Carlo, Stochastic Models for Spikes and Antispikes in Electricity Prices (January 31, 2011). Available at SSRN: http://ssrn.com/abstract=1837439 or http://dx.doi.org/10.2139/ssrn.1837439

Contact Information

Carlo Lucheroni (Contact Author)
University of Camerino ( email )
School of Sciences and Technologies
via Madonna delle Carceri 9
Camerino (MC), 62032
39-0737402552 (Phone)
Feedback to SSRN

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References:  20

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