| Summary: | 碩士 === 國立中央大學 === 統計研究所 === 100 === This article proposes new models for the electricity price processes in each of the two sub-markets in the PJM electricity market: the day-ahead market that trades the power of the next day, and the real-time market that trades on spot. By analyzing the price movement, we believe that today''s price of the day-ahead market should dependent on the expected power capacity and demand of tomorrow, and today''s price of the real-time market should dependent on whether the previous expectation matches the actual supply and demand. The models are further supported by empirical studies, which shows that our model not only fits the real data, but also present good point-wise forecasting ability.
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