http://www.erasmusenergy.com en-us N/A dejong@maycroft.com Fri, 08 Aug 2008 01:35:26 CEST 20 http://www.erasmusenergy.com/articles/153/1/Heavy-tails-and-electricity-prices/Page1.html Published in:
Publication year: 2005

In the first years after the emergence of deregulated power markets it became apparent that for the valuation of electricity derivatives we cannot simply rely on models developed for financial or other commodity markets. However, before adequate models can be put forward the unique characteristics of electricity (spot) prices have to be thoroughly analyzed. In particular, the extreme volatility and price spikes which lead to heavy-tailed distributions of returns. In this paper we first analyze the stylized facts of electricity prices, then present two modeling approaches: jump-diffusion and regime-switching, which to some extent address the pertinent issues.]]> no@spam.com (Rafal Weron) Mon, 28 Jan 2008 12:42:11 CET http://www.erasmusenergy.com/articles/153/1/Heavy-tails-and-electricity-prices/Page1.html http://www.erasmusenergy.com/articles/152/1/Forecasting-spot-electricity-prices-with-time-series-models/Page1.html Published in:
Publication year: 2005
Co-author 1: Adam Misiorek

In this paper we study simple time series models and assess their forecasting performance. In particular we calibrate ARMA and ARMAX (where the exogenous variable is the system load) processes. Models are tested on a time series of California power market system prices and loads from the period proceeding and including the market crash.]]> no@spam.com (Rafal Weron) Mon, 28 Jan 2008 11:55:21 CET http://www.erasmusenergy.com/articles/152/1/Forecasting-spot-electricity-prices-with-time-series-models/Page1.html http://www.erasmusenergy.com/articles/145/1/Modeling-highly-volatile-and-seasonal-markets-evidence-from-the-Nord-Pool-electricity-market/Page1.html Published in: Applications of econophysics
Publication year: 2004
Co-author 1: Ingve Simonsen
Co-author 2: Piotr Wilman

In this paper we address the issue of modeling spot electricity prices. After analyzing factors leading to the unobservable in other financial or commodity markets price dynamics we propose a mean reverting jump diffusion model. We fit the model to data from the Nord Pool power exchange and find that it nearly duplicates the spot price’s main characteristics. The model can thus be used for risk management and pricing derivatives written on the spot electricity price.]]> no@spam.com (Rafal Weron) Mon, 07 Jan 2008 16:16:05 CET http://www.erasmusenergy.com/articles/145/1/Modeling-highly-volatile-and-seasonal-markets-evidence-from-the-Nord-Pool-electricity-market/Page1.html