英文标题:
《Forecasting day ahead electricity spot prices: The impact of the EXAA to
other European electricity markets》
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作者:
Florian Ziel, Rick Steinert, Sven Husmann
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最新提交年份:
2015
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英文摘要:
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market we employ econometric models to incorporate the EXAA price and compare them with their counterparts without the price of the Austrian exchange. By employing a forecasting study, we find that electricity price models can be improved when EXAA prices are considered.
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中文摘要:
本文分析了奥地利能源交易所(EXAA)日前电价与欧洲其他日前电价之间的关系。我们专注于市场,市场在EXAA之后结算价格,这使交易员能够将EXAA价格纳入计算。对于每个市场,我们采用计量经济学模型纳入EXAA价格,并将其与没有奥地利交易所价格的对应市场进行比较。通过预测研究,我们发现当考虑EXAA价格时,电价模型可以得到改进。
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
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一级分类:Statistics 统计学
二级分类:Other Statistics 其他统计数字
分类描述:Work in statistics that does not fit into the other stat classifications
从事不适合其他统计分类的统计工作
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