A branching process approach to power markets
We propose and investigate a market model for power prices, including most basic features exhibited by previous models and taking into account self-exciting properties. The model proposed extends Hawkes-type models by introducing a twofold integral representation property. A Random Field approach wa...
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| Veröffentlicht in: | Energy economics 2019-03, Vol.79, p.144-156 |
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| container_end_page | 156 |
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| container_title | Energy economics |
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| creator | Jiao, Ying Ma, Chunhua Scotti, Simone Sgarra, Carlo |
| description | We propose and investigate a market model for power prices, including most basic features exhibited by previous models and taking into account self-exciting properties. The model proposed extends Hawkes-type models by introducing a twofold integral representation property. A Random Field approach was already exploited by Barndorff-Nielsen et al., who adopted the Ambit Field framework for describing the power price dynamics. The novelty contained in our approach consists of combining the basic features of both Branching Processes and Random Fields in order to get a realistic and parsimonious model setting. We shall provide some closed-form evaluation formulae for forward contracts. We discuss the risk premium behavior, by pointing out that in the present framework, a very realistic description arises. We outline a possible methodology for parameters estimation. We illustrate by graphical representation the main achievements of this approach.
•A new model for power prices including the jumps clustering features•Some explicit valuation formulas for the basic derivatives contracts in the modeling framework proposed•A risk premium analysis for the model introduced with a comparison with previous models•A statistical analysis supporting the modeling approach proposed |
| doi_str_mv | 10.1016/j.eneco.2018.03.002 |
| format | Article |
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•A new model for power prices including the jumps clustering features•Some explicit valuation formulas for the basic derivatives contracts in the modeling framework proposed•A risk premium analysis for the model introduced with a comparison with previous models•A statistical analysis supporting the modeling approach proposed</description><subject>Branching Processes</subject><subject>Economics and Finance</subject><subject>Energy economics</subject><subject>Energy markets</subject><subject>Estimation</subject><subject>Fields (mathematics)</subject><subject>Graphical representations</subject><subject>Humanities and Social Sciences</subject><subject>Markets</subject><subject>Mathematics</subject><subject>Parameter estimation</subject><subject>Power</subject><subject>Prices</subject><subject>Pricing</subject><subject>Property</subject><subject>Random Fields</subject><subject>Risk behavior</subject><subject>Risk premium term structure</subject><subject>Risk taking</subject><subject>Self-exciting structures</subject><issn>0140-9883</issn><issn>1873-6181</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2019</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><recordid>eNp9ULFOwzAQtRBIlMIXsERiYkg424lrDwxVBRSpEgvMluNcaEKJg50W8fc4BDEy3enuvXfvHiGXFDIKVNy0GXZoXcaAygx4BsCOyIzKBU8FlfSYzIDmkCop-Sk5C6EFgEIUckbSZVJ609lt070mvXcWQ0hMHztjt8ngkt59ok_ejX_DIZyTk9rsAl781jl5ub97Xq3TzdPD42q5SW2R0yFVUOcFVUiNKCuwwAUapWpT5pybuKgqUwEDVHFegiisETVykefSClnTBZ-T60l3a3a69008_6WdafR6udHjDJgqciXFgUbs1YSNnj_2GAbdur3voj3NmOQcpBIsoviEst6F4LH-k6Wgxwx1q38y1GOGGriOGUbW7cTC-OyhQa-DbbCzWDUe7aAr1_zL_wbC2Xkk</recordid><startdate>20190301</startdate><enddate>20190301</enddate><creator>Jiao, Ying</creator><creator>Ma, Chunhua</creator><creator>Scotti, Simone</creator><creator>Sgarra, Carlo</creator><general>Elsevier B.V</general><general>Elsevier Science Ltd</general><general>Elsevier</general><scope>AAYXX</scope><scope>CITATION</scope><scope>7ST</scope><scope>7TA</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>C1K</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope><scope>JG9</scope><scope>SOI</scope><scope>1XC</scope><scope>BXJBU</scope><orcidid>https://orcid.org/0000-0003-4365-6539</orcidid></search><sort><creationdate>20190301</creationdate><title>A branching process approach to power markets</title><author>Jiao, Ying ; 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| identifier | ISSN: 0140-9883 |
| ispartof | Energy economics, 2019-03, Vol.79, p.144-156 |
| issn | 0140-9883 1873-6181 |
| language | eng |
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| source | PAIS Index; ScienceDirect Journals (5 years ago - present) |
| subjects | Branching Processes Economics and Finance Energy economics Energy markets Estimation Fields (mathematics) Graphical representations Humanities and Social Sciences Markets Mathematics Parameter estimation Power Prices Pricing Property Random Fields Risk behavior Risk premium term structure Risk taking Self-exciting structures |
| title | A branching process approach to power markets |
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