Resonating Models for the Electric Power Market

14 Pages Posted: 23 May 2011

Date Written: October 7, 2007

Abstract

This paper describes the economic phenomenon of price spiking in electric power markets and introduces a new way to model it. A stochastic FitzHugh-Nagumo dynamics in a special regime is proposed as a basic model for the power market, and an extension of the FitzHugh-Nagumo system is introduced to improve the statistical features of the basic model. Ideas from stochastic and coherence resonance are used to discuss the models.

Keywords: Stochastic Processes, Power Markets

JEL Classification: C39, D49, G19, L11

Suggested Citation

Lucheroni, Carlo, Resonating Models for the Electric Power Market (October 7, 2007). Available at SSRN: https://ssrn.com/abstract=1850474 or http://dx.doi.org/10.2139/ssrn.1850474

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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