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Authors: Shin Ichi Aihara 1 and Arunabha BAGCHI 2

Affiliations: 1 Tokyo University of Science Suwa, Japan ; 2 Twente University, Netherlands

Keyword(s): Electricity Spot, Risk premium, Hyperbolic system, Kalman filter, Jump process, Parameter identification, Parallel filter.

Related Ontology Subjects/Areas/Topics: Adaptive Signal Processing and Control ; Informatics in Control, Automation and Robotics ; Signal Processing, Sensors, Systems Modeling and Control ; System Identification ; System Modeling

Abstract: We study the adaptive filtering for risk premium and system parameters in electricity futures modes. Introducing the jump augmented Vasicek model as the spot price mode, the factor model of the electricity futures is constructed as the stochastic hyperbolic systems with jumps. Representing the main spike phenomena of the electricity spot price from one observed futures data by proxy, the filtering of the stochastic risk premium and its system parameters are developed in a Gaussian framework. By using the parallel filtering algorithm, the online system parameter estimation procedure is proposed.

CC BY-NC-ND 4.0

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Paper citation in several formats:
Aihara, S. and BAGCHI, A. (2014). Adaptive Filtering in Electricity Spot Price Models. In Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO; ISBN 978-989-758-039-0; ISSN 2184-2809, SciTePress, pages 620-628. DOI: 10.5220/0005014206200628

@conference{icinco14,
author={Shin Ichi Aihara and Arunabha BAGCHI},
title={Adaptive Filtering in Electricity Spot Price Models},
booktitle={Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO},
year={2014},
pages={620-628},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005014206200628},
isbn={978-989-758-039-0},
issn={2184-2809},
}

TY - CONF

JO - Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO
TI - Adaptive Filtering in Electricity Spot Price Models
SN - 978-989-758-039-0
IS - 2184-2809
AU - Aihara, S.
AU - BAGCHI, A.
PY - 2014
SP - 620
EP - 628
DO - 10.5220/0005014206200628
PB - SciTePress

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