Thomas Deschatre - Pierre Gruet (EDF R&D)
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 Read more [...]
