A non-parametric structural hybrid modeling approach for electricity prices

DOI10.1080/14697688.2015.1114363MaRDI QIDQ5001124zbMATH OpenOpenAlexFDO

Authors

Publication date 16 July 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://sro.sussex.ac.uk/id/eprint/55301/1/MoazeniCoulonAPS2015.pdf

zbMATH Keywords

electricity marketelectricity price modellingenergy tradingsupply stack

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

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• A structural risk-neutral model of electricity prices
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• Electricity price modeling and asset valuation: a multi-fuel structural approach
• Matrices, moments and quadrature with applications
• Modelling locational price spreads in competitive electricity markets; applications for transmission rights valuation and replication
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Quadrature theory. The theory of numerical integration on a compact interval
• Statistical Size Distributions in Economics and Actuarial Sciences
• Tools for computational finance.
• Valuation and Optimal Operation of Electric Power Plants in Competitive Markets

Cited in

(9)

• Hybrid bottom-up/top-down modeling of prices in deregulated wholesale power markets
• scientific article; zbMATH DE number 5837263 (Why is no real title available?)
• ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
• A structural risk-neutral model of electricity prices
• scientific article; zbMATH DE number 18472 (Why is no real title available?)
• scientific article; zbMATH DE number 6938723 (Why is no real title available?)
• The Forecasting Performance of a Finite Mixture Regime‐Switching Model for Daily Electricity Prices
• Structural electricity models and asymptotically normal estimators to quantify parameter risk
• Computational Science - ICCS 2004

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