Stochastic Models for Spikes and Antispikes in Electricity Prices
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
Date posted: May 18, 2011