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

LUCHERONI, 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
978-1-5090-1298-5
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11581/394807
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