Modeling electricity spot prices using mean-reverting multifractal processes
We 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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- Weron, Rafal & Przybyłowicz, Beata, 2000.
"Hurst analysis of electricity price dynamics,"
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- Torstein Bye & Einar Hope, 2005. "Deregulation of electricity markets : The Norwegian experience," Discussion Papers 433, Statistics Norway, Research Department. Full references (including those not matched with items on IDEAS)
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