Corpus ID: 85459171

A Machine Learning approach to Risk Minimisation in Electricity Markets with Coregionalized Sparse Gaussian Processes

@article{Poh2019AML,
  title={A Machine Learning approach to Risk Minimisation in Electricity Markets with Coregionalized Sparse Gaussian Processes},
  author={Daniel Poh and Stephen Roberts and Martin Tegn'er},
  journal={arXiv: Risk Management},
  year={2019}
}
The non-storability of electricity makes it unique among commodity assets, and it is an important driver of its price behaviour in secondary financial markets. The instantaneous and continuous matching of power supply with demand is a key factor explaining its volatility. During periods of high demand, costlier generation capabilities are utilised since electricity cannot be stored and this has the impact of driving prices up very quickly. Furthermore, the non-storability also complicates… Expand

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