Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (Wiley Finance Series) - Erstausgabe

EAN (ISBN-13): 9780470057537
ISBN (ISBN-10): 047005753X
Gebundene Ausgabe
Erscheinungsjahr: 2007
Herausgeber: Wiley
192 Seiten
Gewicht: 0,513 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 2007-06-04T21:22:12+02:00 (Berlin)
Detailseite zuletzt geändert am 2023-07-27T13:59:54+02:00 (Berlin)
ISBN/EAN: 9780470057537

ISBN - alternative Schreibweisen:
0-470-05753-X, 978-0-470-05753-7
Alternative Schreibweisen und verwandte Suchbegriffe:
Autor des Buches: weron, kaminski
Titel des Buches: loa, modeling forecasting electricity loads prices statistical approach, load, price

---

Daten vom Verlag:

Autor/in: Rafal Weron
Titel: Wiley Finance Series; Modeling and Forecasting Electricity Loads and Prices - A Statistical Approach
Verlag: John Wiley & Sons
192 Seiten
Erscheinungsjahr: 2006-10-27
Gewicht: 0,518 kg
Sprache: Englisch
132,00 € (DE)
No longer receiving updates
179mm x 250mm x 20mm

BB; gebunden; Hardcover, Softcover / Wirtschaft/Betriebswirtschaft; Finanzenwesen und Finanzindustrie; Finanzwesen; Finance & Investments; Finanz- u. Anlagewesen; Allg. Finanz- u. Anlagewesen

Preface. Acknowledgments. 1 Complex Electricity Markets. 1.1 Liberalization. 1.2 The Marketplace. 1.2.1 Power Pools and Power Exchanges. 1.2.2 Nodal and Zonal Pricing. 1.2.3 Market Structure. 1.2.4 Traded Products. 1.3 Europe. 1.3.1 The England and Wales Electricity Market. 1.3.2 The Nordic Market. 1.3.3 Price Setting at Nord Pool. 1.3.4 Continental Europe 13. 1.4 North America. 1.4.1 PJM Interconnection. 1.4.2 California and the Electricity Crisis. 1.4.3 Alberta and Ontario. 1.5 Australia and New Zealand. 1.6 Summary. 1.7 Further Reading. 2 Stylized Facts of Electricity Loads and Prices. 2.1 Introduction. 2.2 Price Spikes. 2.2.1 Case Study: The June 1998 Cinergy Price Spike. 2.2.2 When Supply Meets Demand. 2.2.3 What is Causing the Spikes?. 2.2.4 The Definition. 2.3 Seasonality. 2.3.1 Measuring Serial Correlation. 2.3.2 Spectral Analysis and the Periodogram. 2.3.3 Case Study: Seasonal Behavior of Electricity Prices and Loads. 2.4 Seasonal Decomposition. 2.4.1 Differencing. 2.4.2 Mean or Median Week. 2.4.3 Moving Average Technique. 2.4.4 Annual Seasonality and Spectral Decomposition. 2.4.5 Rolling Volatility Technique. 2.4.6 Case Study: Rolling Volatility in Practice. 2.4.7 Wavelet Decomposition. 2.4.8 Case Study: Wavelet Filtering of Nord Pool Hourly System Prices. 2.5 Mean Reversion. 2.5.1 R/S Analysis. 2.5.2 Detrended Fluctuation Analysis. 2.5.3 Periodogram Regression. 2.5.4 Average Wavelet Coefficient. 2.5.5 Case Study: Anti-persistence of Electricity Prices. 2.6 Distributions of Electricity Prices. 2.6.1 Stable Distributions. 2.6.2 Hyperbolic Distributions. 2.6.3 Case Study: Distribution of EEX Spot Prices. 2.6.4 Further Empirical Evidence and Possible Applications. 2.7 Summary. 2.8 Further Reading. 3 Modeling and Forecasting Electricity Loads. 3.1 Introduction. 3.2 Factors Affecting Load Patterns. 3.2.1 Case Study: Dealing with Missing Values and Outliers. 3.2.2 Time Factors. 3.2.3 Weather Conditions. 3.2.4 Case Study: California Weather vs Load. 3.2.5 Other Factors. 3.3 Overview of Artificial Intelligence-Based Methods. 3.4 Statistical Methods. 3.4.1 Similar-Day Method. 3.4.2 Exponential Smoothing. 3.4.3 Regression Methods. 3.4.4 Autoregressive Model. 3.4.5 Autoregressive Moving Average Model. 3.4.6 ARMA Model Identification. 3.4.7 Case Study: Modeling Daily Loads in California. 3.4.8 Autoregressive Integrated Moving Average Model. 3.4.9 Time Series Models with Exogenous Variables. 3.4.10 Case Study: Modeling Daily Loads in California with Exogenous Variables. 3.5 Summary. 3.6 Further Reading. 4 Modeling and Forecasting Electricity Prices. 4.1 Introduction. 4.2 Overview of Modeling Approaches. 4.3 Statistical Methods and Price Forecasting. 4.3.1 Exogenous Factors. 4.3.2 Spike Preprocessing. 4.3.3 How to Assess the Quality of Price Forecasts. 4.3.4 ARMA-type Models. 4.3.5 Time Series Models with Exogenous Variables. 4.3.6 Autoregressive GARCH Models. 4.3.7 Case Study: Forecasting Hourly CalPX Spot Prices with Linear Models. 4.3.8 Case Study: Is Spike Preprocessing Advantageous?. 4.3.9 Regime-Switching Models. 4.3.10 Calibration of Regime-Switching Models. 4.3.11 Case Study: Forecasting Hourly CalPX Spot Prices with Regime-Switching Models. 4.3.12 Interval Forecasts. 4.4 Quantitative Models and Derivatives Valuation. 4.4.1 Jump-Diffusion Models. 4.4.2 Calibration of Jump-Diffusion Models. 4.4.3 Case Study: A Mean-Reverting Jump-Diffusion Model for Nord Pool Spot Prices. 4.4.4 Hybrid Models. 4.4.5 Case Study: Regime-Switching Models for Nord Pool Spot Prices. 4.4.6 Hedging and the Use of Derivatives. 4.4.7 Derivatives Pricing and the Market Price of Risk. 4.4.8 Case Study: Asian-Style Electricity Options. 4.5 Summary. 4.6 Further Reading. Bibliography. Index.