Adaptive Filtering in Electricity Spot Price Models

ShinIchi Aihara, Arunabha Bagchi

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-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 languageUndefined
    Title of host publicationProceedings of the 11th International Conference on Informatics in Control, Automation and Robotics (ICINCO)
    PublisherSCITEPRESS
    Pages620-628
    Number of pages9
    ISBN (Print)978-989-758-039-0
    DOIs
    Publication statusPublished - 1 Sep 2014
    Event11th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2014 - Technical University Vienna, Vienna, Austria
    Duration: 1 Sep 20143 Sep 2014
    Conference number: 11
    http://www.icinco.org/?y=2014

    Publication series

    Name
    PublisherSciTePress
    Volume1

    Conference

    Conference11th International Conference on Informatics in Control, Automation and Robotics, ICINCO 2014
    Abbreviated titleICINCO
    CountryAustria
    CityVienna
    Period1/09/143/09/14
    Internet address

    Keywords

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

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