Marina Resta (DIEM, sezione di Matematica Finanziaria, University of Genova, Italy) Davide Sciutti (DIEM, sezione di Matematica Finanziaria, University of Genova, Italy)
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Modelling spot price behavior plays a key role in the electric- ity market, since this is the breeding engine for the activity in the corre- sponding forward and futures market: developers and generators (as well as traders) need to know how electricity prices behave, as their profitabil- ity depends on them. Additionally, credit rating agencies need to monitor the exposure of different players in the market to price fluctuations and risks. Starting from those considerations, this work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries, in order to fix some features which a good model should have to fit day–ahead prices. A number of stochastic processes will be then examined as perspective candidate to generate sample paths with explanatory power respect on the real time–series, and results will be discussed.
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Paper provided by EconWPA in its series Econometrics with number
0312002.
Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics C5 - Mathematical and Quantitative Methods - - Econometric Modeling C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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