| dc.contributor.author | Geman, Hélyette | |
| dc.contributor.author | Roncoroni, Andréa | |
| dc.date.accessioned | 2009-07-30T15:08:56Z | |
| dc.date.available | 2009-07-30T15:08:56Z | |
| dc.date.issued | 2006-04 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/1433 | |
| dc.language.iso | en | en |
| dc.subject | Energy price risk | en |
| dc.subject | Simulation | en |
| dc.subject | Calibration | en |
| dc.subject | Statistical estimations | en |
| dc.subject | Jump diffusions | en |
| dc.subject | Electricity prices | en |
| dc.subject.ddc | 333 | en |
| dc.subject.classificationjel | C13 | en |
| dc.subject.classificationjel | C15 | en |
| dc.subject.classificationjel | Q40 | en |
| dc.subject.classificationjel | G12 | en |
| dc.subject.classificationjel | C52 | en |
| dc.subject.classificationjel | C51 | en |
| dc.title | Understanding the Fine Structure of Electricity Prices | en |
| dc.type | Article accepté pour publication ou publié | |
| dc.contributor.editoruniversityother | ESSEC;France | |
| dc.description.abstracten | This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a jump-reversion component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture - for the first time to our knowledge - both the trajectorial and the statistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets. | en |
| dc.relation.isversionofjnlname | The Journal of Business | |
| dc.relation.isversionofjnlvol | 79 | en |
| dc.relation.isversionofjnlissue | 3 | en |
| dc.relation.isversionofjnldate | 2006-04 | |
| dc.relation.isversionofjnlpages | 1225-1261 | en |
| dc.relation.isversionofdoi | http://www.jstor.org/stable/10.1086/500675 | |
| dc.description.sponsorshipprivate | oui | en |
| dc.relation.isversionofjnlpublisher | University of Chicago Press | en |
| dc.subject.ddclabel | Economie de la terre et des ressources naturelles | en |
