Modeling electricity loads in California: a continuous-time approach

DOI10.1016/S0378-4371(01)00315-6MaRDI QIDQ5947899zbMATH OpenOpenAlexFDO

Authors R. Weron, B. Kozłowska, J. Nowicka-Zagrajek

Publication date 23 October 2001

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0103257

zbMATH Keywords

diffusion processesOrnstein-Uhlenbeck processespower market

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70)

Abstract: In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.

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Cites work

• An equilibrium characterization of the term structure
• Energy price risk management
• Fischer Black and financial mathematics
• scientific article; zbMATH DE number 954235 (Why is no real title available?)
• Theory of Financial Risk and Derivative Pricing

Cited in

(5)

• Modeling electricity loads in California: ARMA models with hyperbolic noise
• Modeling the intraday electricity demand in Germany
• A jump-driven Markovian electric load model
• On the Statistical Properties of a Cyclic Diffusion Process Arising in the Modeling of Thermostat-Controlled Electric Power System Loads
• Balancing the grid: mitigating the effects of renewable energy in Italy via skew modeling and forecasting

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