Abstract
We study the adaptive filtering for risk premium and system parameters in electricity futures modes. Introducing the jump augmented Vasicek model as the spot price mode, the factor model of the electricity futures is constructed as the stochastic hyperbolic systems with jumps. Representing the main spike phenomena of the electricity spot price from one observed futures data by proxy, the filtering of the stochastic risk premium and its system parameters are developed in a Gaussian framework. By using the parallel filtering algorithm, the online system parameter estimation procedure is proposed.
Original language | Undefined |
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Title of host publication | Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics (ICINCO) |
Publisher | SCITEPRESS |
Pages | 620-628 |
Number of pages | 9 |
ISBN (Print) | 978-989-758-039-0 |
DOIs | |
Publication status | Published - 1 Sept 2014 |
Event | 11th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2014 - Technical University Vienna, Vienna, Austria Duration: 1 Sept 2014 → 3 Sept 2014 Conference number: 11 http://www.icinco.org/?y=2014 |
Publication series
Name | |
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Publisher | SciTePress |
Volume | 1 |
Conference
Conference | 11th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2014 |
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Abbreviated title | ICINCO |
Country/Territory | Austria |
City | Vienna |
Period | 1/09/14 → 3/09/14 |
Internet address |
Keywords
- EWI-25502
- Jump process
- Kalman filter
- Electricity Spot
- METIS-309775
- Parameter identification
- IR-93656
- Hyperbolic system
- Risk premium
- Parallel filter