CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS

@inproceedings{Barlow2004CALIBRATIONOM,
  title={CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS},
  author={Martin T. Barlow and Yuri Vladimirovich Gusev and Manpo Lai},
  year={2004}
}
Spot prices of electricity and other energy commodities are often modeled by multifactor stochastic processes. This poses a problem of estimating models' parameters based on historical data, i.e. calibrating them to markets. Here we show how a traditional tool of Kalman Filters can be successfuly applied to do this task. We study two mean-reverting log-spot price models and the Pilipovic model using correspondingly Kalman Filter the extended Kalman Filter. The results of applying this method to… CONTINUE READING

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