Joint Modelling of Gas and Electricity spot prices

Abstract : The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The dynamics are based on Ornstein processes with parameterized diffusion coefficients. Moreover, using the empirical distributions of the spot prices, we derive a class of such parameterized diffusions which captures the most salient statistical properties: stationarity, spikes and heavy-tailed distributions. The associated calibration procedure is based on standard and efficient statistical tools. We calibrate the model on French market for electricity and on UK market for gas, and then simulate some trajectories which reproduce well the observed prices behavior. Finally, we illustrate the importance of the correlation structure and of the presence of spikes by measuring the risk on a power plant portfolio.
Type de document :
Pré-publication, Document de travail
2010
Liste complète des métadonnées

Littérature citée [21 références]  Voir  Masquer  Télécharger

https://hal.archives-ouvertes.fr/hal-00421289
Contributeur : Vincent Lemaire <>
Soumis le : mercredi 13 octobre 2010 - 21:32:45
Dernière modification le : lundi 29 mai 2017 - 14:21:45
Document(s) archivé(s) le : vendredi 14 janvier 2011 - 03:16:50

Fichiers

modele_gaz_elec.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00421289, version 3
  • ARXIV : 0910.0236

Collections

UPMC | INSMI | USPC | PMA

Citation

Noufel Frikha, Vincent Lemaire. Joint Modelling of Gas and Electricity spot prices. 2010. 〈hal-00421289v3〉

Partager

Métriques

Consultations de la notice

299

Téléchargements de fichiers

178