Application of the linear and non-linear M-R models at electricity time-series at deregulated markets

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Application of the linear and non-linear M-R models at electricity time-series at deregulated markets

Popis výsledku v původním jazyce

This paper is concentrating on the electricity market and electricity prices. Because of the features occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation, non-normal distribution, heteroscedasticity, seasonality, etc.), it is necessary to employ more sophisticated models for the purposes of their modelling. The goal of this paper is to propose and compare linear and non-linear mean-reversion models for modelling daily electricity prices in three selected regions (California, North Europe and Austria) including statistical verification. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described. Next, linearand non-linear mean-reversion models are described; these models are applied on the data series of electricity prices at given markets. In the end, statistical verification and result comparison is conducted.

Název v anglickém jazyce

Application of the linear and non-linear M-R models at electricity time-series at deregulated markets

Popis výsledku anglicky

This paper is concentrating on the electricity market and electricity prices. Because of the features occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation, non-normal distribution, heteroscedasticity, seasonality, etc.), it is necessary to employ more sophisticated models for the purposes of their modelling. The goal of this paper is to propose and compare linear and non-linear mean-reversion models for modelling daily electricity prices in three selected regions (California, North Europe and Austria) including statistical verification. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described. Next, linearand non-linear mean-reversion models are described; these models are applied on the data series of electricity prices at given markets. In the end, statistical verification and result comparison is conducted.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Řízení a modelování finančních rizik : sborník příspěvků z 5. mezinárodní vědecké konference : 8.-9. září 2010, Ostrava, Česká republika

ISBN

978-80-248-2306-5

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

48-57

Název nakladatele

VŠB - Technická univerzita Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

8. 9. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000306816200006