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.
"This is a timely addition to a rapidly moving area of research. It is a very thorough and critical review of the state of methodological progress on this important topic. New researchers and quantitatively able analysts who are looking for an overall perspective on developments in this field will find the book particularly useful."
-- Prof. Derek W. Bunn, Professor of Decision Sciences, Director of the Energy Markets Group, London Business School
"This book presents modern tools for modeling and forecasting energy loads and prices. The presentation of sixteen case studies guide the reader through the various statistical issues related to load and price modeling and forecasting. the book gives a complete insight into the relevant literature and an excellent survey of the methodologies involved."
-- Prof. Dr. Wolfgang Hardle, CASE - Center for Applied Statistics and Economics, Institute for Statistics and Econometrics, School of Business and Economics, Humboldt-University, Berlin
"Efficient management of the energy markets is one of the most important issues facing global economy. The book provides a systematic exposition of quantitative methods developed for this purpose."
-- Prof. Wojbor A. Woyczynski, Professor of Statistics, Center for Stochastic and Chaotic Processes in Sciences and Technology, Case Western Reserve University, Cleveland