Modeling electricity loads in California: a continuous-time approach
Condensed Matter
2009-11-07 v1
Abstract
In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.
Cite
@article{arxiv.cond-mat/0103257,
title = {Modeling electricity loads in California: a continuous-time approach},
author = {Rafal Weron and B. Kozlowska and J. Nowicka-Zagrajek},
journal= {arXiv preprint arXiv:cond-mat/0103257},
year = {2009}
}
Comments
To be published in Physica A (2001): Proceedings of the NATO ARW on Application of Physics in Economic Modelling, Prague, Feb. 8-10, 2001