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modeling and forecasting electricity loads and prices: a statistical approach
rafal weron
Synopsis "modeling and forecasting electricity loads and prices: a statistical approach"
the book presents a common framework for modeling and forecasting two crucial processes for energy companies: electricity loads and prices. the statistical approach that weron adopts is crucial because it allows for direct input of relevant statistical properties into the models. it is also useful because physical interpretation can be attached to the components of the models, allowing engineers and system operators to better understand the power markets behaviour. it provides an in-depth review of statistical methods that can be used to analyze the dynamics of electricity prices and loads and to forecast their levels. part 1 contains a comprehensive overview of the functioning of the power markets in europe, north america and australia/new zealand. understanding the details of the operation of those markets is essential for appreciation of statistical techniques developed in subsequent chapters. part 2 develops fundamental statistics of power markets related to such important phenomena as price spikes, seasonality, and other time series techniques. advanced tools such as wavelet analysis and the theory of stable distributions are introduced. all of the above are convincingly employed in several case studies. parts 3 and 4 address, respectively, the issues of modeling and forecasting of electricity loads, and of electricity prices. various kinds of autoregressive schemes are discussed. in the case of pricing, a very important tool of jump-diffusions is explained and the use of hedging and derivatives is explored.