Adaptive Filtering in Electricity Spot Price Models

Shin Ichi Aihara, Arunabha BAGCHI

Abstract

We study the adaptive filtering for risk premium and system parameters in electricity futures modes. Introducing the jump augmented Vasicek model as the spot price mode, the factor model of the electricity futures is constructed 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 the stochastic risk premium and its system parameters are developed in a Gaussian framework. By using the parallel filtering algorithm, the online system parameter estimation procedure is proposed.

References

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Paper Citation


in Harvard Style

Aihara S. and BAGCHI A. (2014). Adaptive Filtering in Electricity Spot Price Models . In Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-758-039-0, pages 620-628. DOI: 10.5220/0005014206200628


in Bibtex Style

@conference{icinco14,
author={Shin Ichi Aihara and Arunabha BAGCHI},
title={Adaptive Filtering in Electricity Spot Price Models},
booktitle={Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2014},
pages={620-628},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005014206200628},
isbn={978-989-758-039-0},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - Adaptive Filtering in Electricity Spot Price Models
SN - 978-989-758-039-0
AU - Aihara S.
AU - BAGCHI A.
PY - 2014
SP - 620
EP - 628
DO - 10.5220/0005014206200628