In this paper, we develop a novel approach to electricity price modelling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time-varying mean reversion and seasonally...

We consider an electricity market organized with two settlements: one for a pre-delivery (day-ahead) market and one for real time, where uncertainty regarding production from non-dispatchable energy sources as well as variable load is resolved in the latter stage. We formulate two models to...