A self‐exciting modeling framework for forward prices in power markets

• Published in: Applied stochastic models in business and industry Vol. 38; no. 1; pp. 27 - 48
• Main Authors: Callegaro, Giorgia, Mazzoran, Andrea, Sgarra, Carlo
• Format: Journal Article
• Language: English
• Published: Bognor Regis Wiley Subscription Services, Inc 01.01.2022
• Subjects: Adequacy; branching processes; Clustering; Evolution; forward prices; Hawkes processes; Heath–Jarrow–Morton model; jumps clustering; power markets; Pricing; self‐exciting processes

We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering features. Models of this kind have been already propose...