Modeling electricity prices with regime switching models

Michael Bierbrauer*, Stefan Trück, Rafał Weron

*Corresponding author for this work

Research output: Contribution to journalArticle

50 Citations (Scopus)

Abstract

We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market prices.

Original languageEnglish
Pages (from-to)859-867
Number of pages9
JournalLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume3039
Publication statusPublished - 2004
Externally publishedYes

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