Prediction of large price changes in the energy market using extreme value statistics
In this project we have first and foremost been comparing the performance of the ACER method with the POT method in the prediction of extreme values from the heavy tailed distributions; especially for data from the energy markets. The energy market is an exciting dynamic market where small singulari...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
2011
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-14146 |