In this paper we assess the short-term forecasting power of different time series models in the Nord Pool electricity spot market. We evaluate the accuracy of both point and interval predictions; the latter are specifically important for risk management purposes where one is more interested in...

We investigate the effects of outlier treatment on the estimation of the seasonal component and stochastic models in electricity markets. Typically, electricity spot prices exhibit features like seasonality, mean-reverting behavior, extreme volatility and the occurrence of jumps and spikes....

"Power security" is a term inevitably related to "risk" and "risk management". Sound risk management practices will not only lead to more financially stable performance of the power sector, but also to a more secure power system. In this article we comment on integrated risk management and its...

We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market...

In this paper we study two statistical approaches to load forecasting. Both of them model electricity load as a sum of two components – a deterministic (representing seasonalities) and a stochastic (representing noise). They differ in the choice of the seasonality reduction method. Model A...

In this paper we propose a jump diffusion type model which recovers the main characteristics of electricity spot price dynamics, including seasonality, mean reversion, and spiky behavior. Calibration of the market price of risk allows for pricing of Asian-type options written on the spot...

We analyze a 19-year time series of North American electric power transmission system blackouts. Contrary to previously reported results we find a fatter than exponential decay in the distribution of inter- occurrence times and evidence of seasonal dependence in the number of events. Our...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable -- system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

In this note, we give a proof to the equality in law of a skewed stable variable and a nonlinear transformation of two independent uniform and exponential variables. The lack of an explicit proof of this formula has led to some inaccuracies in the literature. The Chambers et al. (1976) method of...

In this paper we propose a jump-diffusion type model which recovers the main characteristics of electricity spot price dynamics in the Nordic market, including seasonality, mean-reversion and spiky behavior. We show how the calibration of the market price of risk to actively traded futures...