Modeling of energy market prices using truncated distribution functions based on maximum likelihood parametric estimator

摘要

This article presents a model for Energy Market Prices (EMP). Generally, if the EMP model omitted some of the data important features, non-optimal actions will be taken. The stochastic nature of energy market prices and multimodality are the two main important energy market prices features. However although, the majority of EMP models are usually neglect the multimodal nature of the energy market. This work suggests a novel method using truncated distribution functions based on Maximum Likelihood Parametric Estimator (MLPE). k-mean clustering mechanism is utilized. In addition, a new strategy composed of Monte Carlo Simulation (MCS) with Epanchnikov Kernel Smoother (EKS) is utilized for EMP probability modeling and scenario generation. The set of the suggested techniques can be applied to any market by just depending on the availability of historical market data. The model is applied to Polish energy market. The results show that the model duplicated perfectly the energy prices data distribution.