Mari, Carlo; Cananà, Lucianna - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1481-1488
Regime-switching models seem to well capture the main features of power prices behavior in deregulated markets. In a recent paper, we have proposed an equilibrium methodology to derive electricity prices dynamics from the interplay between supply and demand in a stochastic environment. In...