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SUMMARY:Non-stationary functional time series: an application to electrici
 ty supply and demand - Eichler\, M (Universiteit Maastricht)
DTSTART:20140115T143000Z
DTEND:20140115T150000Z
UID:TALK49922@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:One main feature of electricity spot prices is the frequent oc
 currence of spikes\, that is\, of periods of extreme prices that are typic
 ally short-lived and during which the spot price exceeds its normal level 
 many times over. Such spikes occur usually if the supply and demand curves
  that determine the spot price meet in their steeper parts.  For a better 
 assessment of the risk in such situation we propose to include the complet
 e supply and demand curves to forecast spot prices.\n\nWe model the spread
  between the supply and demand curve as a functional time series. The appr
 oach is based on a decomposition into eigenfunctions and model eigenvalues
  by a dynamic factor model. We find that the form of the spread does not r
 emain stable over time but mostly evolves slowly over time.  There are\, h
 owever\, few marked time points of sudden changes in the functional form o
 f the spread. The project is ongoing work and the talk will cover some pre
 liminary results.\n
LOCATION:Seminar Room 1\, Newton Institute
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