Stochastic Models for Spikes and Antispikes in Electricity Prices

Abstract

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