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A second order jumpless stochastic dynamic model in continuous time, able to support upward and downward spike patterns typical of electricity prices, is reviewed and compared to market data.

Spikes and antispikes in electricity continuous time price models

MARI, Carlo
2016-01-01

Abstract

A second order jumpless stochastic dynamic model in continuous time, able to support upward and downward spike patterns typical of electricity prices, is reviewed and compared to market data.
2016
13th International Conference on the European Energy Market, EEM 2016; Porto; Portugal; 6 - 9 June 2016
Inglese
ELETTRONICO
1
4
4
978-1-5090-1298-5
IEEE Computer Society
STATI UNITI D'AMERICA
electricity market economics; nonlinear time series analysis; Stochastic processes; Marketing; Energy Engineering and Power Technology; Fuel Technology
http://ieeexplore.ieee.org/xpl/mostRecentIssue.jsp?punumber=6595168
2-s2.0-84983356248
no
2 Contributo in Volume::2.1 Contributo in volume (Capitolo o Saggio)
2
268
reserved
Lucheroni, Carlo; Mari, Carlo
info:eu-repo/semantics/bookPart
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11564/680084
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