Continuous Time Series Models for Modeling Daily Electricity Prices
This paper aims to provide a unified frame for discussing, summarizing and organizing the main advances in electricity price modeling using the continuous time series modeling approach. This work is organized in three topics: how have been extracted the deterministic patterns present in the daily pr...
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| Veröffentlicht in: | Revista IEEE América Latina 2016-08, Vol.14 (8), p.3630-3635 |
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| container_title | Revista IEEE América Latina |
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| creator | Velasquez, Juan David Franco, Carlos Jaime |
| description | This paper aims to provide a unified frame for discussing, summarizing and organizing the main advances in electricity price modeling using the continuous time series modeling approach. This work is organized in three topics: how have been extracted the deterministic patterns present in the daily prices; how have been modeled the stochastic component using mean-reversion models; and how have been modeled the stochastic components using regime-switching models. The review leads to the conclusion that there is no agreement on which are the better approaches, and the analized papers do not discuss how the selected techniques for extracting the deterministic components affect the results of the modeling of the stochastic component. These are important question that must be answered in future research. |
| doi_str_mv | 10.1109/TLA.2016.7786343 |
| format | Article |
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| source | IEEE Electronic Library (IEL) |
| subjects | Continuous time systems Electricity markets electricity prices Electricity pricing Electricity supply industry IEEE transactions jump diffusion mean-reversion model Media regime-switching model Silicon Stochastic models Stochastic processes Time series Time series analysis |
| title | Continuous Time Series Models for Modeling Daily Electricity Prices |
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