2 novembre 2021
in Publications, Rapports
Intraday electricity markets play an important role in the operation of power systems where the share of renewables has been steadily increasing over
the last 15 years. Statistical modeling of prices in these markets is crucial to better understand them and to allow market participants to operate more
efficiently. The authors of this paper manage to finely reproduce the statistical properties of the series observed on the intraday markets, in particular to reproduce the microstructure noise, by means of self-excited stochastic processes (marked Hawkes processes).