Title :
TARX models for spikes and antispikes in electricity markets
Author :
Lucheroni, Carlo
Author_Institution :
Sch. of Sci. & Technol., Univ. of Camerino, Camerino, Italy
Abstract :
Two electricity price models are presented in the frame of switching and threshold autoregressive exogenous (TARX) models, both in continuous time and in discrete time. The first model is based on the biologically inspired McKean model for spiking neurons, the second model is its extension crafted in such a way to easily display a spike and antispike phenomenology, showing random spikes only in price crest phases (daytime) and random antispikes only during price trough phases. The spiking behavior can be explained by the presence of a mathematical threshold mechanism that can be related to power grid congestions.
Keywords :
neural nets; power markets; power system analysis computing; McKean model; TARX models; electricity markets; electricity price models; mathematical threshold mechanism; power grid congestions; price crest phases; price trough phases; random antispikes; random spikes; spiking neurons; threshold autoregressive exogenous models; Biological system modeling; Chromium; Econometrics; Equations; Mathematical model; Stochastic processes; power system economics; time series analysis;
Conference_Titel :
Energy Market (EEM), 2010 7th International Conference on the European
Conference_Location :
Madrid
Print_ISBN :
978-1-4244-6838-6
DOI :
10.1109/EEM.2010.5558724
