Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach

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9780470057537: Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Back Cover:

Modeling and Forecasting Electricity Loads and Prices 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.

An accompanying CD containing both the data and detailed examples of implementation of different techniques in Matlab will enable readers to retrace all the intermediate steps of a practical implementation of a model and test their 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 rush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and fiance wanting to get a grip on advanced Statistical tools applied in this hot area. Complete with sixteen case studies, this book is a highly practical, self-contained tutorial to electricity load and price modeling and forecasting.

"the ability to predict correctly the system load, customer specific load and the electricity prices is of critical importance to any regulated utility, independent power producer, power marketers and traders. Given high volatility of electricity prices, even a small forecasting error can have a very significant impact on the bottom line. Dr. Weron's book provides an in-depth, up-to-date and very well organized review of Statistical techniques for forecasting power load and prices and is highly recommended to any practitioner of the modern electricity markets."
— Vince Kaminski, Managing Director, Citigroup, Houston and Adjunct Professor, Rice University, Houston

From the Inside Flap:

"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

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Rafal Weron
Editore: John Wiley and Sons Ltd, United Kingdom (2007)
ISBN 10: 047005753X ISBN 13: 9780470057537
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2007. Hardback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book. 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.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. Codice libro della libreria AAH9780470057537

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Rafal Weron
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Descrizione libro John Wiley and#38; Sons, 2006. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470057537

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Rafal Weron
Editore: John Wiley and Sons Ltd, United Kingdom (2007)
ISBN 10: 047005753X ISBN 13: 9780470057537
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2007. Hardback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book. 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.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. Codice libro della libreria AAH9780470057537

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Rafal Weron
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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach, Rafal Weron, 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. Codice libro della libreria B9780470057537

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Weron, Rafal
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Descrizione libro Wiley, 2006. Hardcover. Condizione libro: New. Codice libro della libreria P11047005753X

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Descrizione libro Wiley, 2006. Hardcover. Condizione libro: New. book. Codice libro della libreria 047005753X

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Descrizione libro 2006. Hardback. Condizione libro: NEW. 9780470057537 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0764657

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Descrizione libro Condizione libro: New. Depending on your location, this item may ship from the US or UK. Codice libro della libreria 97804700575370000000

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Descrizione libro John Wiley & Sons Inc, 2006. Hardcover. Condizione libro: Brand New. 1st edition. 192 pages. 10.00x6.75x0.75 inches. In Stock. Codice libro della libreria __047005753X

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Descrizione libro Wiley. Hardcover. Condizione libro: New. 047005753X New Condition. Codice libro della libreria NEW6.0945584

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