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 proceedingConference contributionAcademicpeer-review

1 Citation (Scopus)

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 languageUndefined
Title of host publicationProceedings of the 19th International Federation on Automatic Control (IFAC) World Congress
EditorsEdward Boje, Xiaohua Xia
PublisherInternational Federation of Automatic Control
Pages9563-9568
Number of pages6
ISBN (Print)1474-6670
DOIs
Publication statusPublished - 24 Aug 2014
Event19th IFAC World Congress 2014 - Cape Town International Convention Centre, Cape Town, South Africa
Duration: 24 Aug 201429 Aug 2014
Conference number: 19
http://www.ifac2014.org/

Publication series

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

Conference

Conference19th IFAC World Congress 2014
Abbreviated titleIFAC 2014
CountrySouth Africa
CityCape Town
Period24/08/1429/08/14
Internet address

Keywords

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

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

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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.

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