1 / 25

Three electricity spot price models: Evidence from PJM and Alberta markets

Outline. Why these models?The random variable modelThe MR with Lapalcian motion and jumps modelThe MR with many jumps modelSimulation results. Why these models?. Standard models often overlook the unique characteristics seen in the electricity marketsThey capture more of the statistical charac

gloria
Télécharger la présentation

Three electricity spot price models: Evidence from PJM and Alberta markets

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

    1. Three electricity spot price models: Evidence from PJM and Alberta markets Lunch at the Lab Presentation Matt Lyle Department of mathematics&statistics University of Calgary, Alberta

    2. Outline Why these models? The random variable model The MR with Lapalcian motion and jumps model The MR with many jumps model Simulation results

    3. Why these models? Standard models often overlook the unique characteristics seen in the electricity markets They capture more of the statistical characteristics of electricity price paths They are a result of the analysis found using the FFT method introduced last week

    4. The random variable model Let us suppose the log spot price is as follows Notice the erratic behaviour of the pricesNotice the erratic behaviour of the prices

    5. The random variable model Let Where is the Noise component is the Jump component

More Related