2023/07/31 by Thomas Deschatre, Xavier Warin, Deschatre, Thomas +1 · 1 citation
Energy · Engineering · #60G55 #60G57 #62P05 #91G30 #Applications (stat.AP) #Energy Efficiency and Management #Energy Load and Power Forecasting #FOS: Computer and information sciences #FOS: Economics and business #Smart Grid Energy Management #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2307.16619
openalex publication_date 2023/07/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously. This model, based on Poisson measures and inspired by the Common Shock Poisson Model, reproduces the Samuelson effect (intensity and volatility increases as time to maturity decreases). It also reproduces the price correlation structure, highlighted here in the data, which decreases as two maturities move apart. This model has only three parameters that can be estimated using a moment method that we propose here. We demonstrate the usefulness of the model on a case of storage valuation by dynamic programming over a trading session.