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Modelling electricity day-ahead prices by multivariate Levy semistationary processes

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If you have a question about this talk, please contact Richard Samworth.

This paper presents a new modelling framework for day-ahead electricity prices based on multivariate Levy semistationary (MLSS) processes. Day-ahead electricity prices are determined in a daily auction and, hence, modelled simultaneously as a panel of intra-daily data. The rather flexible structure of MLSS processes is able to reproduce the stylised facts of electricity data rather well and is at the same time highly analytically tractable. In an empirical study, we give some insight into the intra-daily correlation structure of electricity prices in the EEX market. Also, we discuss how the rather new market regulations which allow for negative electricity prices can be accounted for in our new modelling framework.

This is joint work with Luitgard Veraart (LSE).

This talk is part of the Statistics series.

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