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