Title: Modelling electricity prices using processes with time-varying parameters
Authors: Boris Buchmann - Australian National University (Australia)
Ross Maller - Australian National University (Australia)
Gernot Mueller - Augsburg University (Germany) [presenting]
Abstract: Due to changing rules and regulations, changing market conditions, and a changing electricity production towards a higher proportion of renewable energies, electricity prices show a changing behaviour over time. We try to modify an existing statistical model for electricity prices by employing processes which show locally a behaviour similar to alpha-stable processes, but allow for time-varying parameters. The processes under consideration have no stationary increments, so that we look at additive (i.e. independent increment) processes instead of Levy processes. The data which motivates the analysis is taken from the data base of the European Energy Exchange EEX.