Modeling Electricity Prices with Regime Switching Models

@inproceedings{Bierbrauer2004ModelingEP,
  title={Modeling Electricity Prices with Regime Switching Models},
  author={Michael Bierbrauer and Stefan Tr{\"u}ck and Rafax0142 Weron},
  booktitle={International Conference on Computational Science},
  year={2004}
}
We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market prices. 1 Electricity Spot Prices: Markets and Models The deregulation of the power industry has given way to a global trend toward the commoditization of electric energy. Electricity has transformed… CONTINUE READING
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