This paper describes a way to model a seasonally and irregularly peaking price dynamics, as that originated in commodity and energy markets, using a system of coupled nonlinear stochastic differential equations. The specific case of an electric power market is used to show which microeconomic...

This paper describes the economic phenomenon of price spiking in electric power markets and introduces a new way to model it. A stochastic FitzHugh-Nagumo dynamics in a special regime is proposed as a basic model for the power market, and an extension of the FitzHugh-Nagumo system is introduced...

Two electricity price models are presented in the frame of switching and threshold autoregressive exogenous (TARX) models, both in continuous time and in discrete time. The first model is based on the biologically inspired McKean model for spiking neurons, the second model is its extension...

This paper discusses a simple regime-switching SETARX model for electricity prices in discrete and continuous time. The regime structure of the model is linked to market organizational features. In continuous time the model can include spikes without using jumps