Modeling and Forecasting Electricity Loads and Prices - A Statistical Approach +Website

Autor: Rafal Weron

Limbă:

Legare: Copertă tare

Editura: John Wiley & Sons Inc

Disponibilitate: În depozitul extern

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623.33 lei

This book offers an in-depth and up-to-date review of different statistical tools that can be used t...

Informații despre carte

Autor

Rafal Weron

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2006

Pagini

192

EAN

9780470057537

ISBN

047005753X

Enbook ID

04879271

Editura

John Wiley & Sons Inc

Greutate

480

Dimensiuni

173 x 252 x 16

Descriere completă

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. Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data. The book will be of particular interest to the quants 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. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.

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Modeling and Forecasting Electricity Loads and Prices - A Statistical Approach +Website

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