modeling and forecasting electricity loads and prices a statistical approach the wiley finance series

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Modeling And Forecasting Electricity Loads And Prices

Author : Rafal Weron
ISBN : 9780470059999
Genre : Business & Economics
File Size : 20. 88 MB
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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.

Bepreisen Von Preis Und Mengenrisiken Der Strombeschaffung Unter Ber Cksichtigung Von Portfolioaspekten Bei Gro Kunden Im Strommarkt

Author : Sandra Strohbücker
ISBN : 9783834967688
Genre : Business & Economics
File Size : 39. 85 MB
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Sandra Strohbücker untersucht, inwieweit Portfolioeffekte bei Großkunden im Strommarkt Einfluss auf die Risikoprämien einzelner Kunden im Portfolio besitzen.

Electric Power System Planning

Author : Hossein Seifi
ISBN : 3642179894
Genre : Technology & Engineering
File Size : 68. 16 MB
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The present book addresses various power system planning issues for professionals as well as senior level and postgraduate students. Its emphasis is on long-term issues, although much of the ideas may be used for short and mid-term cases, with some modifications. Back-up materials are provided in twelve appendices of the book. The readers can use the numerous examples presented within the chapters and problems at the end of the chapters, to make sure that the materials are adequately followed up. Based on what Matlab provides as a powerful package for students and professional, some of the examples and the problems are solved in using M-files especially developed and attached for this purpose. This adds a unique feature to the book for in-depth understanding of the materials, sometimes, difficult to apprehend mathematically. Chapter 1 provides an introduction to Power System Planning (PSP) issues and basic principles. As most of PSP problems are modeled as optimization problems, optimization techniques are covered in some details in Chapter 2. Moreover, PSP decision makings are based on both technical and economic considerations, so economic principles are briefly reviewed in Chapter 3. As a basic requirement of PSP studies, the load has to be known. Therefore, load forecasting is presented in Chapter 4. Single bus Generation Expansion Planning (GEP) problem is described in Chapter 5. This study is performed using WASP-IV, developed by International Atomic Energy Agency. The study ignores the grid structure. A Multi-bus GEP problem is discussed in Chapter 6 in which the transmission effects are, somehow, accounted for. The results of single bus GEP is used as an input to this problem. SEP problem is fully presented in Chapter 7. Chapter 8 devotes to Network Expansion Planning (NEP) problem, in which the network is planned. The results of NEP, somehow, fixes the network structure. Some practical considerations and improvements such as multi-voltage cases are discussed in Chapter 9. As NEP study is typically based on some simplifying assumptions and Direct Current Load Flow (DCLF) analysis, detailed Reactive Power Planning (RPP) study is finally presented in Chapter 10, to guarantee acceptable ACLF performance during normal as well as contingency conditions. This, somehow, concludes the basic PSP problem. The changing environments due to power system restructuring dictate some uncertainties on PSP issues. It is shown in Chapter 11 that how these uncertainties can be accounted for. Although is intended to be a text book, PSP is a research oriented topic, too. That is why Chapter 12 is devoted to research trends in PSP. The chapters conclude with a comprehensive example in Chapter 13, showing the step-by-step solution of a practical case.

Commodity Option Pricing

Author : Iain J. Clark
ISBN : 9781444362411
Genre : Business & Economics
File Size : 87. 8 MB
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Commodity Option Pricing: A Practitioner’s Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author’s industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. The book has been developed with input from traders and examples using real world data, together with relevant up to date academic research. The book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight. Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.

Handbook Of Power Systems Ii

Author : Steffen Rebennack
ISBN : 3642126863
Genre : Mathematics
File Size : 24. 79 MB
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Energy is one of the world`s most challenging problems, and power systems are an important aspect of energy related issues. This handbook contains state-of-the-art contributions on power systems modeling and optimization. The book is separated into two volumes with six sections, which cover the most important areas of energy systems. The first volume covers the topics operations planning and expansion planning while the second volume focuses on transmission and distribution modeling, forecasting in energy, energy auctions and markets, as well as risk management. The contributions are authored by recognized specialists in their fields and consist in either state-of-the-art reviews or examinations of state-of-the-art developments. The articles are not purely theoretical, but instead also discuss specific applications in power systems.

American Book Publishing Record

Author :
ISBN : UOM:39015066180434
Genre : American literature
File Size : 45. 62 MB
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Wahrscheinlichkeitsrechnung Und Statistik

Author : Robert Hafner
ISBN : 9783709169445
Genre : Mathematics
File Size : 72. 38 MB
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Das Buch ist eine Einführung in die Wahrscheinlichkeitsrechnung und mathematische Statistik auf mittlerem mathematischen Niveau. Die Pädagogik der Darstellung unterscheidet sich in wesentlichen Teilen – Einführung der Modelle für unabhängige und abhängige Experimente, Darstellung des Suffizienzbegriffes, Ausführung des Zusammenhanges zwischen Testtheorie und Theorie der Bereichschätzung, allgemeine Diskussion der Modellentwicklung – erheblich von der anderer vergleichbarer Lehrbücher. Die Darstellung ist, soweit auf diesem Niveau möglich, mathematisch exakt, verzichtet aber bewußt und ebenfalls im Gegensatz zu vergleichbaren Texten auf die Erörterung von Meßbarkeitsfragen. Der Leser wird dadurch erheblich entlastet, ohne daß wesentliche Substanz verlorengeht. Das Buch will allen, die an der Anwendung der Statistik auf solider Grundlage interessiert sind, eine Einführung bieten, und richtet sich an Studierende und Dozenten aller Studienrichtungen, für die mathematische Statistik ein Werkzeug ist.

Konjunkturdiagnose Und Prognose

Author : Roland Döhrn
ISBN : 9783642364976
Genre : Business & Economics
File Size : 36. 72 MB
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​Das Buch stellt das breite Spektrum der in der Konjunkturanalyse gebräuchlichen Verfahren vor und dokumentiert deren Anwendung ein Beispielen aus der Praxis. Besonderes Augenmerk gilt dabei der Frage, wie die verschiedenen Verfahren zusammenwirken und zu einer praxistauglichen Prognose zusammengeführt werden können. Dabei wird auch auf die Datengrundlagen eingegangen und für die Konjunkturanalyse notwendige Schritte der Datenaufbereitung – z.B. die Saisonbereinigung – dargestellt. Auf eine formale Darstellung der angewendeten Methoden (z.B. Faktoranalyse, Diskriminanzanalyse, Regressionsanalyse) wird dabei weitgehend verzichtet, vielmehr soll der Leser die hinter den Verfahren stehenden Ideen verstehen. Der abschließende Teil des Buches befasst sich mit der Evaluation von Prognosen, also der Beurteilung von deren Treffsicherheit.

Die Berechnung Der Zukunft

Author : Nate Silver
ISBN : 9783641112707
Genre : Business & Economics
File Size : 76. 64 MB
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Zuverlässige Vorhersagen sind doch möglich! Nate Silver ist der heimliche Gewinner der amerikanischen Präsidentschaftswahlen 2012: ein begnadeter Statistiker, als »Prognose-Popstar« und »Wundernerd« weltberühmt geworden. Er hat die Wahlergebnisse aller 50 amerikanischen Bundesstaaten absolut exakt vorausgesagt – doch damit nicht genug: Jetzt zeigt Nate Silver, wie seine Prognosen in Zukunft Terroranschläge, Umweltkatastrophen und Finanzkrisen verhindern sollen. Gelingt ihm die Abschaffung des Zufalls? Warum werden Wettervorhersagen immer besser, während die Terrorattacken vom 11.09.2001 niemand kommen sah? Warum erkennen Ökonomen eine globale Finanzkrise nicht einmal dann, wenn diese bereits begonnen hat? Das Problem ist nicht der Mangel an Informationen, sondern dass wir die verfügbaren Daten nicht richtig deuten. Zuverlässige Prognosen aber würden uns helfen, Zufälle und Ungewissheiten abzuwehren und unser Schicksal selbst zu bestimmen. Nate Silver zeigt, dass und wie das geht. Erstmals wendet er seine Wahrscheinlichkeitsrechnung nicht nur auf Wahlprognosen an, sondern auf die großen Probleme unserer Zeit: die Finanzmärkte, Ratingagenturen, Epidemien, Erdbeben, den Klimawandel, den Terrorismus. In all diesen Fällen gibt es zahlreiche Prognosen von Experten, die er überprüft – und erklärt, warum sie meist falsch sind. Gleichzeitig schildert er, wie es gelingen kann, im Rauschen der Daten die wesentlichen Informationen herauszufiltern. Ein unterhaltsamer und spannender Augenöffner!

Die Ersch Pfbare Ressource Erdgas

Author : Sven Flakowski
ISBN : 3825867056
Genre :
File Size : 75. 49 MB
Format : PDF
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