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The Global Energy Forecasting Competition (GEFCom2012) attracted hundreds of participants worldwide, who contributed many novel ideas to the energy forecasting field. This paper introduces both tracks of GEFCom2012, hierarchical load forecasting and wind power forecasting, with details on the...
Persistent link: https://www.econbiz.de/10011165887
In the paper, Structural Vector Autoregressive models (SVAR) are used to identify fundamental and speculative shocks, in the UK electricity market. The structural shocks are identified via short run restrictions, which are imposed on the matrix of instantaneous effects. In the research, two main...
Persistent link: https://www.econbiz.de/10010765437
The book can be classified as a work from a new quickly developing domain of applied and computational mathematics called numerical probability or computational stochastics. Authors present new computer methods of construction and investigation of various stochastic models describing problems...
Persistent link: https://www.econbiz.de/10009643185
This monograph is based on methods and numerical tools from such fields as theory of stochastic differential equations (SDEs), stochastic modeling in computational physics, engineering and mathematical finance, statistical estimation methods, and Monte-Carlo type approximations.
Persistent link: https://www.econbiz.de/10009643186
CONTENTS: Preliminary remarks; Brownian motion, poisson process, alpha-stable Levy motion; Computer simulation of alpha-stable random variables; Stochastic integration; Spectral representations of stationary processes; Computer approximations of continuous time processes; Examples of...
Persistent link: https://www.econbiz.de/10009643189
In this paper we concentrate on power producers’ strategies on the electricity market with contracts and Asian-type call options for power delivery. We propose stochastic asymmetric supply function equilibrium and Cournot models that are based on the assumption of the stochastic behavior of...
Persistent link: https://www.econbiz.de/10010626136
Nowadays power system faces up to various problems and challenges, like e.g. decreasing resources of fossil fuels, ineffective large power plants and transmission lines, as well as increasing demand on energy and quality of energy services and protection of environment. At the same time the...
Persistent link: https://www.econbiz.de/10010626137
The purpose of this paper is to show that using the toolkit of interest rate theory, already well known in financial engineering as the HJM model [D. Heath, R. Jarrow, A. Morton, Econometrica 60, 77 (1992)], it is possible to derive explicite option pricing formula and calibrate the theoretical...
Persistent link: https://www.econbiz.de/10010626138
In this paper we apply a new approach to build bidding strategies for power suppliers on electricity market and assume that each supplier’s bid is a linear function. Moreover each supplier tends to maximise his profit and minimize his risk, which are dependent on the generation output,...
Persistent link: https://www.econbiz.de/10010626139
In this paper we investigate the dependence structure for Ornstein–Uhlenbeck process with tempered stable distribution that is natural extension of the classical Ornstein–Uhlenbeck process with Gaussian and alpha-stable behavior. However, for the alpha-stable models the correlation is not...
Persistent link: https://www.econbiz.de/10010626140