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dc.contributor.authorGeman, Hélyette
dc.contributor.authorRoncoroni, Andréa
dc.date.accessioned2009-07-30T15:08:56Z
dc.date.available2009-07-30T15:08:56Z
dc.date.issued2006-04
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1433
dc.language.isoenen
dc.subjectEnergy price risken
dc.subjectSimulationen
dc.subjectCalibrationen
dc.subjectStatistical estimationsen
dc.subjectJump diffusionsen
dc.subjectElectricity pricesen
dc.subject.ddc333en
dc.subject.classificationjelC13en
dc.subject.classificationjelC15en
dc.subject.classificationjelQ40en
dc.subject.classificationjelG12en
dc.subject.classificationjelC52en
dc.subject.classificationjelC51en
dc.titleUnderstanding the Fine Structure of Electricity Pricesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherESSEC;France
dc.description.abstractenThis 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.isversionofjnlnameThe Journal of Business
dc.relation.isversionofjnlvol79en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2006-04
dc.relation.isversionofjnlpages1225-1261en
dc.relation.isversionofdoihttp://www.jstor.org/stable/10.1086/500675
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherUniversity of Chicago Pressen
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


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