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dc.contributor.authorPlaten, Eckhard
dc.contributor.authorWest, Jason
dc.date.accessioned2017-05-03T16:02:21Z
dc.date.available2017-05-03T16:02:21Z
dc.date.issued2011
dc.date.modified2012-03-02T04:54:32Z
dc.identifier.issn09739599
dc.identifier.urihttp://hdl.handle.net/10072/43292
dc.description.abstractThis paper proposes an approach to the intraday analysis of the dynamics of electricity prices. The growth optimal portfolio (GOP) is used as a reference unit in a continuous financial electricity price model. A diversified global portfolio in the form a market capitalisation weighted index approximates the GOP. The GOP, measured in units of electricity, is normalised and then modelled as a time transformed square root process of dimension four. The dynamics of the resulting process is empirically verified. Intraday spot electricity prices from the US and Australian markets are used for this analysis. The empirical findings identify a simple but realistic model for examining the volatile behaviour of electricity prices. The proposed model reflects the historical price evolution reasonably well by using only a few robust and readily observable parameters. The evolution of the transformed time is modelled via a rapidly evolving market activity. A periodic, ergodic process with deterministic volatility is used to model market activity.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherSerials Publications
dc.publisher.placeIndia
dc.publisher.urihttps://www.math.lsu.edu/cosa/
dc.publisher.urihttps://www.math.lsu.edu/cosa/5-4-08[309].pdf
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom721
dc.relation.ispartofpageto744
dc.relation.ispartofissue4
dc.relation.ispartofjournalCommunications on Stochastic Analysis
dc.relation.ispartofvolume5
dc.rights.retentionY
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchcode150201
dc.titleIntraday Empirical Analysis of Electricity Price Behaviour
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2011
gro.hasfulltextNo Full Text
gro.griffith.authorWest, Jason


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