Method for stochastically modeling electricity prices
First Claim
1. A method for simulating commodity prices comprising the steps of:
- Receiving an input comprising a primary time series;
Computing a related time series from said primary series;
Identifying a cyclical variation series comprising a plurality of cycles for said related time series;
Identifying at least one dominant cyclical variation component series from said cyclical variation series;
Computing a plurality of contribution time series each comprising a plurality of contributions from each of at least one dominant cyclical variation component series to said cyclical variation series;
Regressing each of said contribution time series to compute a residual time series and a regression function;
Computing a future value fit time series from each of said regression functions;
Computing a future value residual time series from each of said residual time series;
Constructing a simulated contribution time series comprising a plurality of simulated contributions from each of said future value fit time series and said future value residual time series;
Combining said dominant cyclical variation component series with the simulated contribution time series to produce a simulated related time series; and
Computing a simulated primary time series from said simulated related time series.
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Abstract
A method for simulating commodity prices comprising the steps of receiving an input comprising a primary time series, computing a related time series from the primary series, identifying a cyclical variation series comprising a plurality of cycles for the related time series, identifying at least one dominant cyclical variation component series from the cyclical variation series, computing a plurality of contribution time series each comprising a plurality of contributions from each of at least one dominant cyclical variation component series to the cyclical variation series, regressing each of the contribution time series to compute a residual time series and a regression function, computing a future value fit time series from each of the regression functions, computing a future value residual time series from each of the residual time series, constructing a simulated contribution time series comprising a plurality of simulated contributions from each of the future value fit time series and the future value residual time series, combining the dominant cyclical variation component series with the simulated contribution time series to produce a simulated related time series, and computing a simulated primary time series from the simulated related time series.
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Citations
11 Claims
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1. A method for simulating commodity prices comprising the steps of:
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Receiving an input comprising a primary time series;
Computing a related time series from said primary series;
Identifying a cyclical variation series comprising a plurality of cycles for said related time series;
Identifying at least one dominant cyclical variation component series from said cyclical variation series;
Computing a plurality of contribution time series each comprising a plurality of contributions from each of at least one dominant cyclical variation component series to said cyclical variation series;
Regressing each of said contribution time series to compute a residual time series and a regression function;
Computing a future value fit time series from each of said regression functions;
Computing a future value residual time series from each of said residual time series;
Constructing a simulated contribution time series comprising a plurality of simulated contributions from each of said future value fit time series and said future value residual time series;
Combining said dominant cyclical variation component series with the simulated contribution time series to produce a simulated related time series; and
Computing a simulated primary time series from said simulated related time series. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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Specification