摘要翻译：
本文提出了一个新的电力现货价格动态模型，该模型能够捕捉市场中的季节性、低频动态和极端峰值。对于低频动力学，我们引入了一个非平稳的独立增量过程，而不是通常的纯确定性趋势，并用非高斯稳定的CARMA过程来模拟大的涨落。该模型允许分析期货价格，我们应用这些模型和估计整个市场一致。除了标准的参数估计外，本文还提出了一种估计方法，即用离交割时间较长的期货数据拟合非平稳趋势，并用一个鲁棒的$L^1$-滤波器来寻找CARMA过程的状态。该程序还涉及经验和理论风险溢价，作为副产品，也被估计。我们将此过程应用于德国电力交易所EEX的数据，在那里我们将实证分析分为基本负荷和峰值负荷价格。我们发现，除了接近交割的合约外，基准负荷期货合约的整体风险溢价为负，在该合约中，风险溢价较小。另一方面，高峰负荷合约在接近交割时表现出明显的正风险溢价，而较长端合约也有负风险溢价。
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英文标题：
《Futures pricing in electricity markets based on stable CARMA spot models》
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作者：
Fred Espen Benth, Claudia Kl\"uppelberg, Gernot M\"uller, Linda Vos
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最新提交年份：
2012
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分类信息：

一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large fluctuations by a non-Gaussian stable CARMA process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently. Besides standard parameter estimation, an estimation procedure is suggested, where we fit the non-stationary trend using futures data with long time until delivery, and a robust $L^1$-filter to find the states of the CARMA process. The procedure also involves the empirical and theoretical risk premiums which -- as a by-product -- are also estimated. We apply this procedure to data from the German electricity exchange EEX, where we split the empirical analysis into base load and peak load prices. We find an overall negative risk premium for the base load futures contracts, except for contracts close to delivery, where a small positive risk premium is detected. The peak load contracts, on the other hand, show a clear positive risk premium, when they are close to delivery, while the contracts in the longer end also have a negative premium.
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PDF链接：
https://arxiv.org/pdf/1201.1151