Gaussian clustering and jump-diffusion models of electricity prices : a deep learning analysis
Year of publication: |
2021
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Authors: | Mari, Carlo ; Mari, Emiliano |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 2, p. 1039-1062
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Subject: | Electricity prices | Deep learning | Gaussian clusters | Jump-diffusion dynamics | Regime-switching dynamics | Mean-reversion | Lévy distributions | Stochastischer Prozess | Stochastic process | Strompreis | Electricity price | Regionales Cluster | Regional cluster | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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