Download This PaperResonating 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: 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
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