دانلود مقاله ISI انگلیسی شماره 104050
ترجمه فارسی عنوان مقاله

رویکرد فرایند انشعابی به بازار برق

عنوان انگلیسی
A branching process approach to power markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
104050 2018 13 صفحه PDF
منبع

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

Journal : Energy Economics, Available online 6 March 2018

پیش نمایش مقاله
پیش نمایش مقاله  رویکرد فرایند انشعابی به بازار برق

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.