Two electricity price models are presented in the frame of switching and threshold autoregressive exogenous (TARX) models, both in continuous time and in discrete time. The first model is based on the biologically inspired McKean model for spiking neurons, the second model is its extension crafted in such a way to easily display a spike and antispike phenomenology, showing random spikes only in price crest phases (daytime) and random antispikes only during price trough phases. The spiking behavior can be explained by the presence of a mathematical threshold mechanism that can be related to power grid congestions.
TARX models for spikes and antispikes in electricity markets
LUCHERONI, Carlo
2010-01-01
Abstract
Two electricity price models are presented in the frame of switching and threshold autoregressive exogenous (TARX) models, both in continuous time and in discrete time. The first model is based on the biologically inspired McKean model for spiking neurons, the second model is its extension crafted in such a way to easily display a spike and antispike phenomenology, showing random spikes only in price crest phases (daytime) and random antispikes only during price trough phases. The spiking behavior can be explained by the presence of a mathematical threshold mechanism that can be related to power grid congestions.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
