Modeling and forecasting electricity loads and prices : a statistical approach / Rafal Weron

By: Material type: Computer fileComputer filePublication details: Chichester : John Wiley, 2006Description: 1 CD-ROMSubject(s): DDC classification:
  • 333.793231 WER 22
Summary: This book 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. The book will be of particular interest to the quant 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 brush up on their technical skills.
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Item type Current library Call number Status Date due Barcode Item holds
Book Book Calcutta 333.793231 WER (Browse shelf(Opens below)) Available IIMC-C122398
Total holds: 0

This book 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. The book will be of particular interest to the quant 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 brush up on their technical skills.

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