Adaptive Filtering in Electricity Spot Price Models

ShinIchi Aihara; Arunabha Bagchi

doi:10.5220/0005014206200628

Adaptive Filtering in Electricity Spot Price Models

ShinIchi Aihara, Arunabha Bagchi

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

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
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	https://doi.org/10.5220/0005014206200628
Publication status	Published - 1 Sep 2014
Event	11th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2014 - Technical University Vienna, Vienna, Austria Duration: 1 Sep 2014 → 3 Sep 2014 Conference number: 11 http://www.icinco.org/?y=2014

Publication series

Name
Publisher	SciTePress
Volume	1

Conference

Conference	11th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2014
Abbreviated title	ICINCO
Country/Territory	Austria
City	Vienna
Period	1/09/14 → 3/09/14
Internet address	http://www.icinco.org/?y=2014

Keywords

EWI-25502
Jump process
Kalman filter
Electricity Spot
METIS-309775
Parameter identification
IR-93656
Hyperbolic system
Risk premium
Parallel filter

Access to Document

10.5220/0005014206200628

http://eprints.eemcs.utwente.nl/secure2/25502/01/ICINCO_2014_AB.pdf

Cite this

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title = "Adaptive Filtering in Electricity Spot Price Models",

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.",

keywords = "EWI-25502, Jump process, Kalman filter, Electricity Spot, METIS-309775, Parameter identification, IR-93656, Hyperbolic system, Risk premium, Parallel filter",

author = "ShinIchi Aihara and Arunabha Bagchi",

note = "eemcs-eprint-25502 ; null ; Conference date: 01-09-2014 Through 03-09-2014",

year = "2014",

month = sep,

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doi = "10.5220/0005014206200628",

language = "Undefined",

isbn = "978-989-758-039-0",

publisher = "SCITEPRESS",

pages = "620--628",

booktitle = "Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics (ICINCO)",

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}

Aihara, S & Bagchi, A 2014, Adaptive Filtering in Electricity Spot Price Models. in Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics (ICINCO). SCITEPRESS, pp. 620-628, 11th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2014, Vienna, Austria, 1/09/14. https://doi.org/10.5220/0005014206200628

TY - GEN

T1 - Adaptive Filtering in Electricity Spot Price Models

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

N1 - Conference code: 11

PY - 2014/9/1

Y1 - 2014/9/1

N2 - 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.

AB - 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.

KW - EWI-25502

KW - Jump process

KW - Kalman filter

KW - Electricity Spot

KW - METIS-309775

KW - Parameter identification

KW - IR-93656

KW - Hyperbolic system

KW - Risk premium

KW - Parallel filter

U2 - 10.5220/0005014206200628

DO - 10.5220/0005014206200628

M3 - Conference contribution

SN - 978-989-758-039-0

SP - 620

EP - 628

BT - Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics (ICINCO)

PB - SCITEPRESS

Y2 - 1 September 2014 through 3 September 2014

ER -