Gaussian clustering and jump-diffusion models of electricity prices : a deep learning analysis
Carlo Mari, Emiliano Mari
| Year of publication: |
2021
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| Authors: | Mari, Carlo ; Mari, Emiliano |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 2, p. 1039-1062
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| Subject: | Electricity prices | Deep learning | Gaussian clusters | Jump-diffusion dynamics | Regime-switching dynamics | Mean-reversion | Lévy distributions | Strompreis | Electricity price | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Regionales Cluster | Regional cluster | Lernprozess | Learning process | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-021-00332-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012795108