Weron Modeling and Forecasting Electricity Loads and Prices

A Statistical Approach
1. Auflage 2007
ISBN: 978-0-470-05999-9
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 192 Seiten, E-Book

Reihe: Wiley Finance Series

This book offers an in-depth and up-to-date review of differentstatistical tools that can be used to analyze and forecast thedynamics of two crucial for every energy companyprocesses--electricity prices and loads. It provides coverageof seasonal decomposition, mean reversion, heavy-taileddistributions, exponential smoothing, spike preprocessing,autoregressive time series including models with exogenousvariables and heteroskedastic (GARCH) components, regime-switchingmodels, interval forecasts, jump-diffusion models, derivativespricing and the market price of risk.
Modeling and Forecasting Electricity Loads and Prices ispackaged with a CD containing both the data and detailed examplesof implementation of different techniques in Matlab, withadditional examples in SAS. A reader can retrace all theintermediate steps of a practical implementation of a model andtest his understanding of the method and correctness of thecomputer code using the same input data.
The book will be of particular interest to the quants employedby the utilities, independent power generators and marketers,energy trading desks of the hedge funds and financial institutions,and the executives attending courses designed to help them to brushup on their technical skills. The text will be also of use tograduate students in electrical engineering, econometrics andfinance wanting to get a grip on advanced statistical tools appliedin this hot area. In fact, there are sixteen Case Studies in thebook making it a self-contained tutorial to electricity load andprice modeling and forecasting.

Autoren/Hrsg.

Weron, Rafal

Über Autor(innen)

RAFAL WERON received his M.Sc. (1995) and Ph.D. (1999)degrees in applied mathematics from the Wroclaw University ofTechnology (WUT), Poland. He currently holds a position ofAssistant Professor at WUT. His research focuses on risk managementand forecasting in the power markets and computational statisticsas applied to finance and insurance.
Rafal Weron is the co-author of three books and over 70 researcharticles, book chapters, and conference papers. His professionalexperience includes design of the risk management system for BOTHolding (BOT Górnictwo i Energetyka S.A.), development ofinsurance strategies for Polish Power Grid Co. (PSE S.A.) andHydro-storage Power Plants Co. (ESP S.A.), as well asimplementation of yield curve calibration and option pricingsoftware for LUKAS Bank S.A. (Crédit Agricole Group). He hasalso been a consultant or executive teacher to a large number ofbanks and corporations.