英文标题：
《Estimation and simulation of the transaction arrival process in intraday
  electricity markets》
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作者：
Micha{\\l} Narajewski and Florian Ziel
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最新提交年份：
2019
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英文摘要：
  We examine the novel problem of the estimation of transaction arrival processes in the intraday electricity markets. We model the inter-arrivals using multiple time-varying parametric densities based on the generalized F distribution estimated by maximum likelihood. We analyse both the in-sample characteristics and the probabilistic forecasting performance. In a rolling window forecasting study, we simulate many trajectories to evaluate the forecasts and gain significant insights into the model fit. The prediction accuracy is evaluated by a functional version of the MAE (mean absolute error), RMSE (root mean squared error) and CRPS (continuous ranked probability score) for the simulated count processes. This paper fills the gap in the literature regarding the intensity estimation of transaction arrivals and is a major contribution to the topic, yet leaves much of the field for further development. The study presented in this paper is conducted based on the German Intraday Continuous electricity market data, but this method can be easily applied to any other continuous intraday electricity market. For the German market, a specific generalized gamma distribution setup explains the overall behaviour significantly best, especially as the tail behaviour of the process is well covered.
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中文摘要：
我们研究了日内电力市场中交易到达过程估计的新问题。基于极大似然估计的广义F分布，我们使用多个时变参数密度对到达间隔进行建模。我们分析了样本内特征和概率预测性能。在滚动窗口预测研究中，我们模拟了许多轨迹来评估预测，并对模型拟合获得了重要见解。预测精度通过模拟计数过程的MAE（平均绝对误差）、RMSE（均方根误差）和CRPS（连续排名概率得分）的功能版本进行评估。本文填补了文献中关于交易到达强度估计的空白，是对该主题的主要贡献，但仍有许多领域有待进一步发展。本文的研究是基于德国日内连续电力市场数据进行的，但该方法可以很容易地应用于任何其他日内连续电力市场。对于德国市场，一个特定的广义伽马分布设置可以很好地解释整体行为，尤其是当过程的尾部行为被很好地覆盖时。
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分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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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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