Modeling electricity loads in California: a continuous-time approach

Details Modeling electricity loads in California: a continuous-time approach Modeling electricity loads in California: a continuous-time approach

2001-03-12

arxiv.org/abs/cond-mat/0103257v1

Physica A 299 (2001) 344-350

Physics

Condensed Matter

To be published in Physica A (2001): Proceedings of the NATO ARW on Application of Physics in Economic Modelling, Prague, Feb.

Scientific paper

10.1016/S0378-4371(01)00315-6

In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.

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