Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2800"
  #_source: array:26 [
    "id" => "2800"
    "slug" => "understanding-the-fine-structure-of-electricity-prices"
    "yearMonth" => "2006-05"
    "year" => "2006"
    "title" => "Understanding the Fine Structure of Electricity Prices"
    "description" => "GEMAN, H. et RONCORONI, A. (2006). Understanding the Fine Structure of Electricity Prices. <i>Journal of Business</i>, pp. 1225-1261."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "RONCORONI Andrea"
        "bid" => "B00006589"
        "slug" => "roncoroni-andrea"
      ]
      1 => array:1 [
        "name" => "GEMAN H."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:1 [
      0 => "Jump-diffusion"
    ]
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "1225-1261"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a "jump-reversion" component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture -for the first time to  our knowledge- both the trajectorial and the satistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets."
      "en" => "This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a "jump-reversion" component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture -for the first time to  our knowledge- both the trajectorial and the satistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T11:21:49.000Z"
    "docTitle" => "Understanding the Fine Structure of Electricity Prices"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/roncoroni-andrea">RONCORONI Andrea</a>, GEMAN H."
    "docDescription" => "<span class="document-property-authors">RONCORONI Andrea, GEMAN H.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2006</span>"
    "keywordList" => "<a href="#">Jump-diffusion</a>"
    "docPreview" => "<b>Understanding the Fine Structure of Electricity Prices</b><br><span>2006-05 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Understanding the Fine Structure of Electricity Prices</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.953466
  +"parent": null
}