| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481502 | Physica A: Statistical Mechanics and its Applications | 2012 | 8 Pages |
Abstract
⺠The functional form of the electricity supply curve is a power law. ⺠The exponent is a two-state Markov process. ⺠The power prices dynamics is a regime-switching process induced by Markov transitions. ⺠One endogenous non-Brownian component of the motion is responsible for jumps and spikes. ⺠The empirical analysis reveals a good adaptability of the model to market data.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Carlo Mari, Lucianna Cananà ,