Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis

DOI10.1007/S10203-021-00332-ZMaRDI QIDQ2064632zbMATH OpenOpenAlexFDO

Authors Carlo Mari, Emiliano Mari

Publication date 6 January 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-021-00332-z

zbMATH Keywords

deep learningelectricity pricesGaussian clustersjump-diffusion dynamicsLévy distributionsmean-reversionregime-switching dynamics

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Artificial neural networks and deep learning (68T07) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

• A jump-diffusion model for pricing electricity under price-cap regulation
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• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Introduction to econophysics. Correlations and complexity in finance.
• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
• Neural network forecasting for seasonal and trend time series
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• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Seasonal adjustment methods and real time trend-cycle estimation
• Simulated Moments Estimation of Markov Models of Asset Prices
• Spectral Analysis of Irregularly Sampled Data with Time Series Models
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• The Statistical Mechanics of Financial Markets
• Uncovering delayed patterns in noisy and irregularly sampled time series: an astronomy application
• Wavelet variance analysis for gappy time series

Cited in

(2)

• From calendar time to business time: the case of commodity markets
• Dynamic choice of renewable energy communities: bottom-up vs top-down organisation

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• NESToolbox

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