Approximation of supply curves
Pricing of Securities
2023-11-21 v1 Statistical Finance
Applications
Methodology
Abstract
In this note, we illustrate the computation of the approximation of the supply curves using a one-step basis. We derive the expression for the L2 approximation and propose a procedure for the selection of nodes of the approximation. We illustrate the use of this approach with three large sets of bid curves from European electricity markets.
Cite
@article{arxiv.2311.10738,
title = {Approximation of supply curves},
author = {Andres M. Alonso and Zehang Li},
journal= {arXiv preprint arXiv:2311.10738},
year = {2023}
}