no code implementations • 31 Mar 2021 • Thomas Deschatre, Olivier Féron, Pierre Gruet
This review presents the set of electricity price models proposed in the literature since the opening of power markets.
no code implementations • 12 Mar 2021 • Thomas Deschatre, Pierre Gruet
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets.