Stochastic Models for Spikes and Antispikes in Electricity Prices
12 Pages Posted: 18 May 2011
Date Written: 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.
Keywords: Stochastic processes, time series analysis, power system
JEL Classification: C39, D49, G19, L11
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