Modeling electricity spot prices using mean-reverting multifractal processes
AbstractWe discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the anti-correlations are modeled in the same way as in an Ornstein-Uhlenbeck process, i.e. via a drift (damping) term, and in the second model the anti-correlations are included by letting the innovations in the MRW model be fractional Gaussian noise with H
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1201.6137.
Date of creation: Jan 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-BEC-2012-02-15 (Business Economics)
- NEP-ENE-2012-02-15 (Energy Economics)
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