University of Cambridge > Talks.cam > Statistics > Modelling electricity day-ahead prices by multivariate Levy semistationary processes

  Browse A-Z

Log in

Cambridge users (raven)details Other usersdetails No account?details

Information on

Subscribing to talksdetails Finding a talkdetails Adding a talkdetails Disseminating talksdetails Help and Documentationdetails

Modelling electricity day-ahead prices by multivariate Levy semistationary processes

Add to your list(s) Download to your calendar using vCal

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.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

Other lists

6th Annual Cambridge Technology Ventures Conference - June 11th Cambridge Centre for Political Thought Philosophy

Other talks

The role of myosin VI in connexin 43 gap junction accretion The Digital Railway - Network Rail Electrophysiological approaches in Lewy body dementia: helpful or not? Symbolic AI in Computational Biology; applications to disease gene and drug target identification Zoo and Wildlife Work Adaptation in log-concave density estimation BP KEYNOTE LECTURE: Importance of C-O Bond Activation for CO2/COUtilization - An Approach to Energy Conversion and Storage Protein Folding, Evolution and Interactions Symposium Thermodynamics de-mystified? /Thermodynamics without Ansätze? Atiyah Floer conjecture Investigating the Functional Anatomy of Motion Processing Pathways in the Human Brain Language Adaptation experiments: Cross-lingual embeddings for related languages
 

© 2006-2025 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity