Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg

 

Oberseminar Stochastik

 

Mrs. Paulina Rowińska
Imperial College London

 
spricht am
 
Mittwoch, 9. Mai 2018
 
um
 
14:00 Uhr
 
im
 
Raum 2004 (L1)
 
über das Thema:
 

»Blowing in the Wind«

Abstract:
We introduce a three-factor model of electricity spot rices, consisting of a deterministic seasonality and trend function as well as short- and long-term stochastic components, and derive a formula for futures prices. The long-term component is modelled as a Lévy process with increments belonging to the class of generalised hyperbolic distributions. We describe the short-term factor by Lévy semistationary processes: we start from a CARMA(2,1), i.e. a continous-time ARMA model, and generalise it by adding a short-memory stochastic volatility. We further modify the model by including the information about the wind energy production as an exogenous variable. We fit our models to German and Austrian data including spot and futures prices as well as the wind energy production and total load data. Empirical studies reveal that taking into account the impact of the wind energy generation on the prices improves the goodness of fit.

 

Hierzu ergeht herzliche Einladung.
Prof. Dr. Gernot Müller



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