Modeling electricity prices: Jump diffusion and regime switching

R. Weron*, M. Bierbrauer, S. Trück

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

152 Citations (Scopus)

Abstract

In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic power exchange and discuss the pros and cons of each one.

Original languageEnglish
Pages (from-to)39-48
Number of pages10
JournalPhysica A: Statistical Mechanics and its Applications
Volume336
Issue number1-2
DOIs
Publication statusPublished - 1 May 2004
Externally publishedYes

Keywords

  • Electricity price
  • Jump diffusion
  • Regime switching
  • Seasonality

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