Modelos continuos de series de tiempo para modelar precios diarios de electricidad (Continuous Time Series Models for Modeling Daily Electricity Prices)

Juan David Velasquez (jdvelasq@unal.edu.co)1, Carlos Jaime Franco (cjfranco@unal.edu.co)1


1Universidad Nacional de Colombia

This paper appears in: Revista IEEE América Latina

Publication Date: Aug. 2016
Volume: 14,   Issue: 8 
ISSN: 1548-0992


Abstract:
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.

Index Terms:
Electricity markets, electricity prices, jump diffusion, mean-reversion model, regime-switching model   


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