http://www.erasmusenergy.com en-us N/A dejong@maycroft.com Sun, 07 Sep 2008 15:41:51 CEST 20 http://www.erasmusenergy.com/articles/42/1/Electricity-Prices-Stochastic-or-Deterministic/Page1.html Keywords: Electricity Prices, Energy Risk Management,
Gaming, (Geometric) Brownian Motion and Jumps.
Published in:
Publication year: 2003
Co-author 1: P.H. Schavemaker
Co-author 2: L. van der Sluis

In this paper (Spot) Electricity Prices are analyzed.
Fluctuations in Electricity Prices – as they come about on the new Energy Markets - turn out to be deterministic to a large extent. This is very different from (Spot) Market Prices for Stocks, Currencies, Interest or common Commodities, like Wheat or Oil, which are best treated as pure stochastic variables. Therefore the (Geometric) Brownian Motion Price Theory - as is commonly used for Stocks and other markets - does not work for Electricity. Instead a much simpler and better descriptive Market Based Price Forecasting methodology is proposed.

]]> no@spam.com (Adriaan de Lange) Thu, 27 Sep 2007 12:36:09 CEST http://www.erasmusenergy.com/articles/42/1/Electricity-Prices-Stochastic-or-Deterministic/Page1.html