Filtering and Identification of Stochastic Risk Premium for Electricity Spot Price Models

ShinIchi Aihara; Arunabha Bagchi; E.S.N. Imreizeeq

doi:10.3182/20140824-6-ZA-1003.00325

Filtering and Identification of Stochastic Risk Premium for Electricity Spot Price Models

ShinIchi Aihara, Arunabha Bagchi, E.S.N. Imreizeeq

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

1 Citation (Scopus)

4 Downloads (Pure)

Abstract

Starting from the simple model for the spot price which is set as the jump augmented Vasicek model, we construct a factor model of the electricity futures 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 factor process and the related stochastic risk premium are formulated in a Gaussian frame work. After serving the likelihood functional, the systems parameter estimation problem is solved.

Original language	Undefined
Title of host publication	Proceedings of the 19th International Federation on Automatic Control (IFAC) World Congress
Editors	Edward Boje, Xiaohua Xia
Publisher	International Federation of Automatic Control
Pages	9563-9568
Number of pages	6
ISBN (Print)	1474-6670
DOIs	https://doi.org/10.3182/20140824-6-ZA-1003.00325
Publication status	Published - 24 Aug 2014
Event	19th IFAC World Congress 2014 - Cape Town International Convention Centre, Cape Town, South Africa Duration: 24 Aug 2014 → 29 Aug 2014 Conference number: 19 http://www.ifac2014.org/

Publication series

Name
Publisher	International Federation of Automatic Control
ISSN (Print)	1474-6670

Conference

Conference	19th IFAC World Congress 2014
Abbreviated title	IFAC
Country/Territory	South Africa
City	Cape Town
Period	24/08/14 → 29/08/14
Internet address	http://www.ifac2014.org/

Keywords

EWI-25500
MLE
Jump process
Kalman filter
METIS-309774
Hyperbolic system
Risk premium
IR-93655
Electricity Spot

Access to Document

10.3182/20140824-6-ZA-1003.00325

http://eprints.eemcs.utwente.nl/secure2/25500/01/IFAC2014_ABI.pdf

Cite this

Aihara, S., Bagchi, A., & Imreizeeq, E. S. N. (2014). Filtering and Identification of Stochastic Risk Premium for Electricity Spot Price Models. In E. Boje, & X. Xia (Eds.), Proceedings of the 19th International Federation on Automatic Control (IFAC) World Congress (pp. 9563-9568). International Federation of Automatic Control. https://doi.org/10.3182/20140824-6-ZA-1003.00325

@inproceedings{8780a7ac7bf94d0b97b1d29e82a50838,

title = "Filtering and Identification of Stochastic Risk Premium for Electricity Spot Price Models",

abstract = "Starting from the simple model for the spot price which is set as the jump augmented Vasicek model, we construct a factor model of the electricity futures 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 factor process and the related stochastic risk premium are formulated in a Gaussian frame work. After serving the likelihood functional, the systems parameter estimation problem is solved.",

keywords = "EWI-25500, MLE, Jump process, Kalman filter, METIS-309774, Hyperbolic system, Risk premium, IR-93655, Electricity Spot",

author = "ShinIchi Aihara and Arunabha Bagchi and E.S.N. Imreizeeq",

note = "eemcs-eprint-25500 ; 19th IFAC World Congress 2014 ; Conference date: 24-08-2014 Through 29-08-2014",

year = "2014",

month = aug,

day = "24",

doi = "10.3182/20140824-6-ZA-1003.00325",

language = "Undefined",

isbn = "1474-6670",

publisher = "International Federation of Automatic Control",

pages = "9563--9568",

editor = "Edward Boje and Xiaohua Xia",

booktitle = "Proceedings of the 19th International Federation on Automatic Control (IFAC) World Congress",

url = "http://www.ifac2014.org/",

}

Aihara, S, Bagchi, A & Imreizeeq, ESN 2014, Filtering and Identification of Stochastic Risk Premium for Electricity Spot Price Models. in E Boje & X Xia (eds), Proceedings of the 19th International Federation on Automatic Control (IFAC) World Congress. International Federation of Automatic Control, pp. 9563-9568, 19th IFAC World Congress 2014, Cape Town, South Africa, 24/08/14. https://doi.org/10.3182/20140824-6-ZA-1003.00325

Filtering and Identification of Stochastic Risk Premium for Electricity Spot Price Models. / Aihara, ShinIchi; Bagchi, Arunabha; Imreizeeq, E.S.N.
Proceedings of the 19th International Federation on Automatic Control (IFAC) World Congress. ed. / Edward Boje; Xiaohua Xia. International Federation of Automatic Control, 2014. p. 9563-9568.

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

TY - GEN

T1 - Filtering and Identification of Stochastic Risk Premium for Electricity Spot Price Models

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

AU - Imreizeeq, E.S.N.

N1 - Conference code: 19

PY - 2014/8/24

Y1 - 2014/8/24

N2 - Starting from the simple model for the spot price which is set as the jump augmented Vasicek model, we construct a factor model of the electricity futures 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 factor process and the related stochastic risk premium are formulated in a Gaussian frame work. After serving the likelihood functional, the systems parameter estimation problem is solved.

AB - Starting from the simple model for the spot price which is set as the jump augmented Vasicek model, we construct a factor model of the electricity futures 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 factor process and the related stochastic risk premium are formulated in a Gaussian frame work. After serving the likelihood functional, the systems parameter estimation problem is solved.

KW - EWI-25500

KW - MLE

KW - Jump process

KW - Kalman filter

KW - METIS-309774

KW - Hyperbolic system

KW - Risk premium

KW - IR-93655

KW - Electricity Spot

U2 - 10.3182/20140824-6-ZA-1003.00325

DO - 10.3182/20140824-6-ZA-1003.00325

M3 - Conference contribution

SN - 1474-6670

SP - 9563

EP - 9568

BT - Proceedings of the 19th International Federation on Automatic Control (IFAC) World Congress

A2 - Boje, Edward

A2 - Xia, Xiaohua

PB - International Federation of Automatic Control

T2 - 19th IFAC World Congress 2014

Y2 - 24 August 2014 through 29 August 2014

ER -