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英文文献：Modeling and forecasting electricity price jumps in the Nord Pool power market
英文文献作者：Oskar Knapik
英文文献摘要：
For risk management traders in the electricity market are mainly interested in the risk of negative (drops) or of positive (spikes) price jumps, i.e. the sellers face the risk of negative price jumps while the buyers face the risk of positive price jumps. Understanding the mechanism that drive extreme prices and forecasting of the price jumps is crucial for risk management and market design. In this paper, we consider the problem of the impact of fundamental price drivers on forecasting of price jumps in NordPool intraday market. We develop categorical time series models which take into account i) price drivers, ii) persistence, iii) seasonality of electricity prices. The models are shown to outperform commonly-used benchmark. The paper shows how crucial for price jumps forecasting is to incorporate additional knowledge on price drivers like loads, temperature and water reservoir level as well as take into account the persistence in the jumps occurrence process.
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