Thomas Deschatre - Pierre Gruet (EDF R&D)
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Thomas Deschatre - Pierre Gruet (EDF R&D)
28 mai 2021 @ 14 h 00 min - 15 h 00 min
Speakers: Thomas Deschatre (EDF R&D) et Pierre Gruet (EDF R&D)
Title: Electricity Intraday Price Modeling with Marked Hawkes Processes
Résumé: We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity, random jump sizes but above all microstructure noise through the signature plot. This last feature is of particular importance for practitioners and has not yet been modeled on those particular markets. We provide analytic formulas for first and second moments and for the signature plot, extending the classic results of Bacry et al. [2] in the context of Hawkes processes with random jump sizes and time dependent baseline intensity. The tractable model we propose is estimated on German data and seems to fit the data well. We also provide a result about the convergence of the price process to a Brownian motion with increasing volatility at macroscopic scales, highlighting the Samuelson effect.