Electricity Intraday Price Modelling with Marked Hawkes Processes

DOI10.1080/1350486x.2023.2180399zbMath1516.91058arXiv2103.07407MaRDI QIDQ6039999

Pierre Gruet, Thomas Deschatre

Publication date: 24 May 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.07407

zbMATH Keywords

Hawkes processesmicrostructure noisehigh-frequency statisticselectricity intraday prices

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Related Items

Equilibrium price in intraday electricity markets

Cites Work

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