Modeling electricity spot prices using mean-reverting multifractal processes

Martin Rypdal and Ola L{\o}vsletten

Papers from arXiv.org

Abstract: 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

Date: 2012-01
New Economics Papers: this item is included in nep-bec and nep-ene
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