دانلود مقاله ISI انگلیسی شماره 104050
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
104050 2018 13 صفحه PDF سفارش دهید 9764 کلمه
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عنوان انگلیسی
A branching process approach to power markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Energy Economics, Available online 6 March 2018

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چکیده انگلیسی

We propose and investigate a market model for power prices, including most basic features exhibited by previous models and taking into account self-exciting properties. The model proposed extends Hawkes-type models by introducing a twofold integral representation property. A Random Field approach was already exploited by Barndorff-Nielsen et al., who adopted the Ambit Field framework for describing the power price dynamics. The novelty contained in our approach consists of combining the basic features of both Branching Processes and Random Fields in order to get a realistic and parsimonious model setting. We shall provide some closed-form evaluation formulae for forward contracts. We discuss the risk premium behavior, by pointing out that in the present framework, a very realistic description arises. We outline a possible methodology for parameters estimation. We illustrate by graphical representation the main achievements of this approach.

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