On the possible linear predictor for some subset of the spot price jumps

Mathematical Modelling: Methods, algorithms, technologies
Authors:
Melnik Alina S. Ivankov Alexey A.
Abstract:

The problem was posed as the possibility to develop a simple stochastic model, namely linear predictor, for some subset of the spot price jumps at spot market of energy. The jumps of the temperature at the energy consumer region are treated as the factor that make impact at observing jumps of spot price.