Modeling electricity loads in California: a continuous-time approach

Rafał Weron, B. Kozłowska and J. Nowicka-Zagrajek

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 1, 344-350

Abstract: In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein–Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.

Keywords: Econophysics; Electricity load; Ornstein–Uhlenbeck process; Mean-reversion; Seasonality (search for similar items in EconPapers)
Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437101003156
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:1:p:344-350

DOI: 10.1016/S0378-4371(01)00315-6

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().