Stochastic Models for Spikes and Antispikes in Electricity Prices

12 Pages Posted: 18 May 2011  

Carlo Lucheroni

University of Camerino

Date Written: January 31, 2011

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

Suggested Citation

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

Carlo Lucheroni (Contact Author)

University of Camerino ( email )

School of Sciences and Technologies
via Madonna delle Carceri 9
Camerino (MC), 62032
Italy
39-0737402552 (Phone)

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