MODELLING PRICES IN NEM WITH THE MEAN-REVERTING PROCESS Higgs and Worthington (2010) modelled electricity prices in NEM by mean-reverting
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چکیده
INTRODUCTION TO MEAN-REVERTING PROCESS Although the mean-reverting phenomenon appears to violate the definition of independent events, it simply reflects the fact that the probability density function of any random variable , by definition, is nonnegative over every interval and integrates to one over the interval . Thus, as moves away from the mean, the proportion of the distribution that lies closer to the mean than increases continuously (Weisstein, 2012)
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