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Modeling electricity loads in California: a continuous-time approach

Rafal Weron·B. Kozlowska·J. Nowicka-Zagrajek
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Abstract

In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein-Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from the California power market and performing out-of-sample forecasts we conclude that, despite certain advantages, the analyzed continuous-time processes are not adequate models of electricity load and price dynamics.

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Rafal Weron, B. Kozlowska, J. Nowicka-Zagrajek. 2001-03-12. Modeling electricity loads in California: a continuous-time approach. https://doi.org/10.1016/s0378-4371(01)00315-6

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