Modeling electricity prices: Jump diffusion and regime switching

R. Weron; M. Bierbrauer; S. Trück

doi:10.1016/j.physa.2004.01.008

Modeling electricity prices: Jump diffusion and regime switching

R. Weron^*, M. Bierbrauer, S. Trück

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

182 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 language	English
Pages (from-to)	39-48
Number of pages	10
Journal	Physica A: Statistical Mechanics and its Applications
Volume	336
Issue number	1-2
DOIs	https://doi.org/10.1016/j.physa.2004.01.008
Publication status	Published - 1 May 2004
Externally published	Yes

Keywords

Electricity price
Jump diffusion
Regime switching
Seasonality

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10.1016/j.physa.2004.01.008

Cite this

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title = "Modeling electricity prices: Jump diffusion and regime switching",

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.",

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T2 - Jump diffusion and regime switching

AU - Weron, R.

AU - Bierbrauer, M.

AU - Trück, S.

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N2 - 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.

AB - 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.

KW - Electricity price

KW - Jump diffusion

KW - Regime switching

KW - Seasonality

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M3 - Article

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JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

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Modeling electricity prices: Jump diffusion and regime switching

Abstract

Keywords

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