Essec\Faculty\Model\Contribution {#6196
  #_index: "academ_contributions"
  #_id: "7866"
  #_source: array:26 [
    "id" => "7866"
    "slug" => "a-family-of-reduced-form-models-for-electricity-prices"
    "yearMonth" => "2003-06"
    "year" => "2003"
    "title" => "A Family of Reduced-form Models for Electricity Prices"
    "description" => "GEMAN, H. et RONCORONI, A. (2003). <i>A Family of Reduced-form Models for Electricity Prices</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "RONCORONI Andrea"
        "bid" => "B00006589"
        "slug" => "roncoroni-andrea"
      ]
      1 => array:1 [
        "name" => "GEMAN H."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "This paper presents a family of processes to model electricity spot prices in deregulated market. 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 represents 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 statistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets."
      "en" => "This paper presents a family of processes to model electricity spot prices in deregulated market. 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 represents 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 statistical 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" => "2024-04-19T22:21:59.000Z"
    "docTitle" => "A Family of Reduced-form Models for Electricity Prices"
    "docSurtitle" => "Documents de travail"
    "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">2003</span>"
    "keywordList" => ""
    "docPreview" => "<b>A Family of Reduced-form Models for Electricity Prices</b><br><span>2003-06 | Documents de travail </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">A Family of Reduced-form Models for Electricity Prices</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.101864
  +"parent": null
}