Liebl, Dominik (2010): Modeling hourly Electricity Spot Market Prices as non stationary functional times series.
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Abstract
The instantaneous nature of electricity distinguishes its spot prices from spot prices for equities and other commodities. Up to now electricity cannot be stored economically and therefore demand for electricity has an untempered effect on electricity prices. In particular, hourly electricity spot prices show a vast range of dynamics which can change rapidly. In this paper we introduce a robust version of functional principal component analysis for sparse data. The functional perspective interprets spot prices as functions of demand for electricity and allows to estimate a single price curve for each day. Variations in market fundamentals such as commodity prices are absorbed by the first principal components.
Item Type:  MPRA Paper 

Original Title:  Modeling hourly Electricity Spot Market Prices as non stationary functional times series 
Language:  English 
Keywords:  Functional principal component analysis, non stationary functional time series data, sparse data, electricity spot market prices, European Electricity Exchange (EEX). 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General 
Item ID:  25017 
Depositing User:  Dominik Liebl 
Date Deposited:  15. Sep 2010 10:58 
Last Modified:  30. Apr 2015 06:34 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/25017 
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