A self-exciting modeling framework for forward prices in power markets

被引：14

作者：

Callegaro, Giorgia ^{[1
]}

Mazzoran, Andrea ^{[1
]}

Sgarra, Carlo ^{[2
]}

机构：

[1] Univ Padua, Dipartimento Matemat Applicata, Padua, Italy

[2] Politecn Milan, Dipartimento Matemat, Milan, Italy

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2022年 / 38卷 / 01期

关键词：

branching processes; forward prices; Hawkes processes; Heath-Jarrow-Morton model; jumps clustering; power markets; self-exciting processes; BRANCHING-PROCESSES; ELECTRICITY; CURVES; VALUATION; CONTRACTS; SPIKES; ENERGY; LIMITS;

D O I：

10.1002/asmb.2645

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering features. Models of this kind have been already proposed for the spot price dynamics, but the main purpose of the present work is to investigate the performances of such models in describing the forward dynamics. We adopt a Heath-Jarrow-Morton approach in order to capture the whole forward curve evolution. By examining daily data in the French power market, we perform a goodness-of-fit test and we present our conclusions about the adequacy of these models in describing the forward prices evolution.

引用

页码：27 / 48

页数：22

共 39 条

[21] A switching self-exciting jump diffusion process for stock prices [J].