Observed the Spike Phenomena of Electricity Price under Jump-Diffusion Model

• Main Authors: You-Cheng Luo, 羅有呈
• Other Authors: Cheng-De Fu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/14766693515057360701

碩士 === 國立中央大學 === 統計研究所 === 99 === In storable commodities, when we faced the supply and demand imbalance in the spot. The inventories could be slow down the unexpected impact, making the price changes would not be so intensely. In this paper, we explore a very special energy derivatives: electricity spot price. As electricity would be impact because of the supply and demand imbalance shortly. This situation would cause the special phenomena in the price trajectory, and the phenomena be called spike. The spike phenomena would have huge loss for market participants. Hence, we introduce a jump-diffusion model to describe the spikes phenomena. In PJM market, our model has main purpose that want to capture the trajectory and statistical properties. Last, the components are appropriate in electricity spot price.