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
    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
    @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",
    year = "2014",
    month = "8",
    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",

    }

    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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    AU - Imreizeeq, E.S.N.

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    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.

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    KW - MLE

    KW - Jump process

    KW - Kalman filter

    KW - METIS-309774

    KW - Hyperbolic system

    KW - Risk premium

    KW - IR-93655

    KW - Electricity Spot

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    DO - 10.3182/20140824-6-ZA-1003.00325

    M3 - Conference contribution

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    EP - 9568

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

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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