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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Stochastic optimization models for energy trading
 Klyuchevskiy, Iakov ; Lachout, Petr (advisor) ; Branda, Martin (referee)
Energy market modelling is one of the most pressing topics. There are several ways how to create the models depending on what features to expect and require. The thesis will be devoted to studying stochastic models of the energy market. We explain first the mechanics and the characteristics of the energy market. We then move on to two commonly used stochastic power price models with different options for volatility and the distribution of spikes. A comparison of the models then shows that some are significantly better than others. Further, two other models (and their modifications) were proposed based on the first four. One of them has shown good performance and can be advised for use in ELIX price modelling. 1
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