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Three electricity spot price models: Evidence from PJM and Alberta markets

Outline. Why these models?The random variable modelThe MR with Lapalcian motion and jumps modelThe MR with many jumps modelSimulation results. Why these models?. Standard models often overlook the unique characteristics seen in the electricity marketsThey capture more of the statistical charac

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Three electricity spot price models: Evidence from PJM and Alberta markets

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    1. Three electricity spot price models: Evidence from PJM and Alberta markets “Lunch at the Lab” Presentation Matt Lyle Department of mathematics&statistics University of Calgary, Alberta

    2. Outline Why these models? The random variable model The MR with Lapalcian motion and jumps model The MR with many jumps model Simulation results

    3. Why these models? Standard models often overlook the unique characteristics seen in the electricity markets They capture more of the statistical characteristics of electricity price paths They are a result of the analysis found using the FFT method introduced last week

    4. The random variable model Let us suppose the log spot price is as follows Notice the erratic behaviour of the pricesNotice the erratic behaviour of the prices

    5. The random variable model Let Where is the Noise component is the Jump component

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