Tarx Models for Spikes and Antispikes in Electricity Markets

6 Pages Posted: 26 May 2011

Date Written: March 12, 2010

Abstract

Two electricity price models are presented in the frame of switching and threshold autoregressive exogenous (TARX) models, both in continuous time and in discrete time. The first model is based on the biologically inspired McKean model for spiking neurons, the second model is its extension crafted in such a way to easily display a spike and antispike phenomenology, showing random spikes only in price crest phases (daytime) and random antispikes only during price trough phases. The spiking behavior can be explained by the presence of a mathematical threshold mechanism that can be related to power grid congestions. Revised and published with the same title in Energy Market (EEM), 2010 7th International Conference on the European.

Keywords: stochastic processes, time series analysis, power system economics

Suggested Citation

Lucheroni, Carlo, Tarx Models for Spikes and Antispikes in Electricity Markets (March 12, 2010). Available at SSRN: https://ssrn.com/abstract=1850473 or http://dx.doi.org/10.2139/ssrn.1850473

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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