VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING

DOI10.1142/S0219024920500272zbMath1447.91175OpenAlexW2971256112MaRDI QIDQ3304218

Björn Felten, Marcel Kremer, Fred Espen Benth, Rüdiger Kiesel

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500272

zbMATH Keywords

stochastic modelingMonte Carlo simulationvolatilityliquidityelectricity futureshigh-frequency pricestime-weighted realized variance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Equilibrium price in intraday electricity markets

Uses Software

• GitHub
• emarketcrawlR

Cites Work

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• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• A two-factor model for the electricity forward market
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Estimation of integrated volatility in stochastic volatility models

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