Modeling electricity loads in California: a continuous-time approach
arXiv:cond-mat/0103257 · doi:10.1016/S0378-4371(01)00315-6
Abstract
In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.
To be published in Physica A (2001): Proceedings of the NATO ARW on Application of Physics in Economic Modelling, Prague, Feb. 8-10, 2001