An hour-ahead prediction model for heavy-tailed spot prices
نویسندگان
چکیده
We propose an hour-ahead prediction model for electricity prices that captures the heavy-tailed behavior that we observe in the hourly spot market in the Ercot (Texas) and the PJM West hub grids. We present a model according to which we separate the price process into a thin-tailed trailing-median process and a heavytailed residual process whose probability distribution can be approximated by a Cauchy distribution. We show empirical evidence that supports our model.
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