Multi-factor jump-diffusion models of electricity prices

Thilo Meyer-Brandis; Peter Tankov

doi:10.1142/S0219024908004907

Multi-factor jump-diffusion models of electricity prices

Thilo Meyer-Brandis
, Peter Tankov

University of Oslo
University Paris 13

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can be adequately reproduced by the sum-OU model: a model representing the price as a sum of Lévy-driven Ornstein-Uhlenbeck (OU) processes. We present a new method for filtering out the different OU components and develop a statistical procedure for estimating the sum-OU model from data.

langue originale	Anglais
Pages (de - à)	503-528
Nombre de pages	26
journal	International Journal of Theoretical and Applied Finance
Volume	11
Numéro de publication	5
Les DOIs	https://doi.org/10.1142/S0219024908004907
état	Publié - 1 août 2008
Modification externe	Oui

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10.1142/S0219024908004907

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title = "Multi-factor jump-diffusion models of electricity prices",

abstract = "The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can be adequately reproduced by the sum-OU model: a model representing the price as a sum of L{\'e}vy-driven Ornstein-Uhlenbeck (OU) processes. We present a new method for filtering out the different OU components and develop a statistical procedure for estimating the sum-OU model from data.",

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KW - Lévy-driven Ornstein-Uhlenbeck type processes

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KW - Nonlinear filtering

KW - Statistical estimation

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Multi-factor jump-diffusion models of electricity prices

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