Simone Scotti (Paris Diderot University )
A Branching Process Approach to Power Markets
We propose and investigate a market model for power prices, including most basic features exhibited by previous models and taking into account self-exciting properties. The model proposed extends Hawkes-type models by introducing a two-fold integral representation property. The novelty contained in our approach consists in combining the basic features of both Branching Processes and Random Fields in order to get a realistic and parsimonious model Read more [...]
