English, Article, Journal or magazine article edition: A Class of Marked Point Processes for Modelling Electricity Prices Geman, Hélyette; Roncoroni, Andrea

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Bookmark: http://trove.nla.gov.au/version/170024
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Class of Marked Point Processes for Modelling Electricity Prices
Author
  • Geman, Hélyette
  • Roncoroni, Andrea
Physical Description
  • preprint
Notes
  • This paper presents a family of processes to model electricity spot prices in deregulated markets. Besides mean-reversion, a property they share with other comodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a « jump-reversion » component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture – for the first time to our knowledge – both the trajectorial and statistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets.
  • RePEc:ebg:essewp:dr-03004
Language
  • English
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