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.
|Number of pages||10|
|Journal||Physica A: Statistical Mechanics and its Applications|
|Publication status||Published - 1 May 2004|
- Electricity price
- Jump diffusion
- Regime switching