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Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach - Weron, Rafal
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Weron, Rafal:

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach - edition reliée, livre de poche

2006, ISBN: 047005753X

ID: 14094898967

[EAN: 9780470057537], Neubuch, [PU: Wiley], Technology|Power Resources, Business & Economics|Accounting|Financial, Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Preface. Acknowledgments. 1 Complex Electricity Markets. 1.1 Liberalization. 1.2 The Marketplace. 1.2.1 Power Pools and Power Exchanges. 1.2.2 Nodal and Zonal Pricing. 1.2.3 Market Structure. 1.2.4 Traded Products. 1.3 Europe. 1.3.1 The England and Wales Electricity Market. 1.3.2 The Nordic Market. 1.3.3 Price Setting at Nord Pool. 1.3.4 Continental Europe 13. 1.4 North America. 1.4.1 PJM Interconnection. 1.4.2 California and the Electricity Crisis. 1.4.3 Alberta and Ontario. 1.5 Australia and New Zealand. 1.6 Summary. 1.7 Further Reading. 2 Stylized Facts of Electricity Loads and Prices. 2.1 Introduction. 2.2 Price Spikes. 2.2.1 Case Study: The June 1998 Cinergy Price Spike. 2.2.2 When Supply Meets Demand. 2.2.3 What is Causing the Spikes'. 2.2.4 The Definition. 2.3 Seasonality. 2.3.1 Measuring Serial Correlation. 2.3.2 Spectral Analysis and the Periodogram. 2.3.3 Case Study: Seasonal Behavior of Electricity Prices and Loads. 2.4 Seasonal Decomposition. 2.4.1 Differencing. 2.4.2 Mean or Median Week. 2.4.3 Moving Average Technique. 2.4.4 Annual Seasonality and Spectral Decomposition. 2.4.5 Rolling Volatility Technique. 2.4.6 Case Study: Rolling Volatility in Practice. 2.4.7 Wavelet Decomposition. 2.4.8 Case Study: Wavelet Filtering of Nord Pool Hourly System Prices. 2.5 Mean Reversion. 2.5.1 R/S Analysis. 2.5.2 Detrended Fluctuation Analysis. 2.5.3 Periodogram Regression. 2.5.4 Average Wavelet Coefficient. 2.5.5 Case Study: Anti-persistence of Electricity Prices. 2.6 Distributions of Electricity Prices. 2.6.1 Stable Distributions. 2.6.2 Hyperbolic Distributions. 2.6.3 Case Study: Distribution of EEX Spot Prices. 2.6.4 Further Empirical Evidence and Possible Applications. 2.7 Summary. 2.8 Further Reading. 3 Modeling and Forecasting Electricity Loads. 3.1 Introduction. 3.2 Factors Affecting Load Patterns. 3.2.1 Case Study: Dealing with Missing Values and Outliers. 3.2.2 Time Factors. 3.2.3 Weather Conditions. 3.2.4 Case Study: California Weather vs Load. 3.2.5 Other Factors. 3.3 Overview of Artificial Intelligence-Based Methods. 3.4 Statistical Methods. 3.4.1 Similar-Day Method. 3.4.2 Exponential Smoothing. 3.4.3 Regression Methods. 3.4.4 Autoregressive Model. 3.4.5 Autoregressive Moving Average Model. 3.4.6 ARMA Model Identification. 3.4.7 Case Study: Modeling Daily Loads in California. 3.4.8 Autoregressive Integrated Moving Average Model. 3.4.9 Time Series Models with Exogenous Variables. 3.4.10 Case Study: Modeling Daily Loads in California with Exogenous Variables. 3.5 Summary. 3.6 Further Reading. 4 Modeling and Forecasting Electricity Prices. 4.1 Introduction. 4.2 Overview of Modeling Approaches. 4.3 Statistical Methods and Price Forecasting. 4.3.1 Exogenous Factors. 4.3.2 Spike Preprocessing. 4.3.3 How to Assess the Quality of Price Forecasts. 4.3.4 ARMA-type Models. 4.3.5 Time Series Models with Exogenous Variables. 4.3.6 Autoregressive GARCH Models. 4.3.7 Case Study: Forecasting Hourly CalPX Spot Prices with Linear Models. 4.3.8 Case Study: Is Spike Preprocessing Advantageous'. 4.3.9 Regime-Switching Models. 4.3.10 Calibration of Regime-Switching Models. 4.3.11 Case Study: Forecasting Hourly CalPX Spot Prices with Regime-Switching Models. 4.3.12 Interval Forecasts. 4.4 Quantitative Models and Derivatives Valuation. 4.4.1 Jump-Diffusion Models. 4.4.2 Calibration of Jump-Diffusion Models. 4.4.3 Case St

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Weron, R: Modeling and Forecasting Electricity Loads and Pri - Rafal Weron
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Rafal Weron:

Weron, R: Modeling and Forecasting Electricity Loads and Pri - nouveau livre

ISBN: 9780470057537

ID: 8e0986fdf12a61d107e54cefb059a1a2

Modeling and Forecasting Electricity Loads and Prices is the only book to provide original statistical tools that will enable readers to model electricity loads and prices. This book presents a common framework for modeling and forecasting two crucial processes for energy companies: electricity loads and prices. Modeling and Forecasting Electricity Loads and Prices offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes - electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series - including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk. An accompanying CD containing both the data and detailed examples of implementation of different techniques in Matlab will enable readers to retrace all the intermediate steps of a practical implementation of a model and test their understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants employed by 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 rush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and fiance wanting to get a grip on advanced Statistical tools applied in this hot area. Complete with sixteen case studies, this book is a highly practical, self-contained tutorial to electricity load and price modeling and forecasting. "the ability to predict correctly the system load, customer specific load and the electricity prices is of critical importance to any regulated utility, independent power producer, power marketers and traders. Given high volatility of electricity prices, even a small forecasting error can have a very significant impact on the bottom line. Dr. Weron's book provides an in-depth, up-to-date and very well organized review of Statistical techniques for forecasting power load and prices and is highly recommended to any practitioner of the modern electricity markets." -- Vince Kaminski, Managing Director, Citigroup, Houston and Adjunct Professor, Rice University, Houston Bücher / Fremdsprachige Bücher / Englische Bücher 978-0-470-05753-7, John Wiley & Sons Inc

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Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (The Wiley Finance Series) - Rafal Weron
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Rafal Weron:
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (The Wiley Finance Series) - edition reliée, livre de poche

2006

ISBN: 047005753X

[SR: 1329004], Hardcover, [EAN: 9780470057537], John Wiley & Sons, John Wiley & Sons, Book, [PU: John Wiley & Sons], 2006-10-27, John Wiley & Sons, Modeling and Forecasting Electricity Loads and Prices is the only book to provide original statistical tools that will enable readers to model electricity loads and prices. This book presents a common framework for modeling and forecasting two crucial processes for energy companies: electricity loads and prices., 268093, Financial, 268091, Accounting, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268153, Economics, 268156, Econometrics, 268159, Economic Conditions, 268160, Economic Policy & Development, 506824, Economic Systems, 268163, History, 268164, International Economics, 268170, Labour, 268173, Macroeconomics, 268176, Microeconomics, 268177, Political Economy, 268178, Theory & Philosophy, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 659984, Forecasting, 268179, Professional Finance, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 278153, Energy, 278150, Electrical, 278115, Engineering & Technology, 57, Science & Nature, 1025612, Subjects, 266239, Books

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Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (Wiley Finance Series) - Rafal Weron
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Rafal Weron:
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (Wiley Finance Series) - edition reliée, livre de poche

ISBN: 047005753X

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Modeling and Forecasting Electricity Loads and Prices: a Statistical Approach (the Wiley Finance Series) - Rafal Weron
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Rafal Weron:
Modeling and Forecasting Electricity Loads and Prices: a Statistical Approach (the Wiley Finance Series) - edition reliée, livre de poche

2006, ISBN: 9780470057537

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Détails sur le livre
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
Auteur:

Weron, Rafal; Weron, Rafa

Titre:

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach

ISBN:

9780470057537

This book provides original statistical tools that enable readers to model electricity loads and prices. It presents a common framework for modeling and forecasting energy price and load. This statistical approach allows for direct input of relevant statistical properties into the models and allows engineers and system operators to better understand power market behavior.

Informations détaillées sur le livre - Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach


EAN (ISBN-13): 9780470057537
ISBN (ISBN-10): 047005753X
Version reliée
Date de parution: 2007
Editeur: John Wiley & Sons
192 Pages
Poids: 0,513 kg
Langue: eng/Englisch

Livre dans la base de données depuis 04.06.2007 21:22:12
Livre trouvé récemment le 20.09.2016 17:29:27
ISBN/EAN: 9780470057537

ISBN - Autres types d'écriture:
0-470-05753-X, 978-0-470-05753-7

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