Modeling electricity price events as point processes

Becker, Ralf, Clements, Adam E., & Zainudin, Wan Nur R. A. (2013) Modeling electricity price events as point processes. The Journal of Energy Markets, 6(2), pp. 99-140.

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Energy prices are highly volatile and often feature unexpected spikes. It is the aim of this paper to examine whether the occurrence of these extreme price events displays any regularities that can be captured using an econometric model. Here we treat these price events as point processes and apply Hawkes and Poisson autoregressive models to model the dynamics in the intensity of this process.We use load and meteorological information to model the time variation in the intensity of the process. The models are applied to data from the Australian wholesale electricity market, and a forecasting exercise illustrates both the usefulness of these models and their limitations when attempting to forecast the occurrence of extreme price events.

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ID Code: 62747
Item Type: Journal Article
Refereed: Yes
Additional URLs:
ISSN: 1756-3607
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 23 Sep 2013 01:56
Last Modified: 23 Sep 2013 22:54

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