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SUMMARY:Modelling electricity day-ahead prices by multivariate Levy semist
 ationary processes - Almut Veraart\, Imperial College London
DTSTART:20111111T160000Z
DTEND:20111111T170000Z
UID:TALK34060@talks.cam.ac.uk
CONTACT:Richard Samworth
DESCRIPTION:This paper presents a new modelling framework for day-ahead el
 ectricity\nprices based on\nmultivariate Levy semistationary (MLSS) proces
 ses. Day-ahead electricity\nprices are determined in a\ndaily auction and\
 , hence\, modelled simultaneously as a panel of intra-daily\ndata.\nThe ra
 ther flexible structure of MLSS processes is able to reproduce the\nstylis
 ed facts of electricity data\nrather well and is at the same time highly a
 nalytically tractable. In an\nempirical study\, we\ngive some insight into
  the intra-daily correlation structure of electricity\nprices in the EEX m
 arket.\nAlso\, we discuss how the rather new market regulations which allo
 w for\nnegative electricity prices\ncan be accounted for in our new modell
 ing framework.\n\nThis is joint work with Luitgard Veraart (LSE).\n
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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