A fractional Brownian -- Hawkes model for the Italian electricity spot market: estimation and forecasting

Abstract

We propose a model for the description and the forecast of the gross prices of electricity in the liberalized Italian energy market via an additive two-factor model driven by both a Hawkes and a fractional Brownian processes. We discuss the seasonality, the identification of spikes and the estimates of the Hurst coefficient. After the calibration and the validation of the model, we discuss its forecasting performance via a class of adequate evaluation metrics.

arXiv comment40 pages, 19 figures

Cited by in corpus (1)

• A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion