Identification of electricity spot models by using convolution particle filter

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Aihara, ShinIchi and Bagchi, Arunabha and Imreizeeq, Emad (2011) Identification of electricity spot models by using convolution particle filter. International journal of innovative computing, information and control, 7 (1). pp. 61-72. ISSN 1349-4198

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Abstract:We consider a slight perturbation of the Schwartz-Smith model for the electricity futures prices and the resulting modied spot model. Using the martingale property of the modied price under the risk neutral measure, we derive the arbitrage free model for the spot and futures prices. As the futures price formula is based on the arithmetic average of the unobservable spot prices, it is highly nonlinear. We use the particle filtering methodology for estimating the model parameters. The main advantage of the new model is that it avoids the inclusion of articial noise to the observation equation for the implementation of the particle lter. The extra noise is built within the model in an arbitrage free setting.
Item Type:Article
Additional information:Open Access
Copyright:© 2011 ICIC International
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/81542
Official URL:http://www.ijicic.org/sss09-06.pdf
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