Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market

Rafał Weron (), Ingve Simonsen and Piotr Wilman
Additional contact information
Ingve Simonsen: The Norwegian University of Science and Technology
Piotr Wilman: Wroclaw University of Technology

Econometrics from EconWPA

Abstract: In this paper we address the issue of modeling spot electricity prices. After analyzing factors leading to the unobservable in other financial or commodity markets price dynamics we propose a mean reverting jump diffusion model. We fit the model to data from the Nord Pool power exchange and find that it nearly duplicates the spot price's main characteristics. The model can thus be used for risk management and pricing derivatives written on the spot electricity price.

Keywords: electricity price; mean reversion; wavelet transform; jump diffusion model (search for similar items in EconPapers)
JEL-codes: C22 C51 L94 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2003-03-15
Note: Type of Document - PDF; prepared on IBM PC - PC-TEX; pages: 10 ; figures: 3 included. Appeared in "The Application of Econophysics", H. Takayasu (ed.), Springer, Tokyo, 2004, pp. 182-191.
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/em/papers/0303/0303007.pdf (application/pdf)

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: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0303007

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().