A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
提出一个基于泊松测度的多维日内电价模型，能同时模拟所有产品、再现萨缪尔森效应和价格相关性，仅需三个参数，并用于电池储能的动态规划估值。
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously. This model, based on Poisson measures and inspired by the Common Shock Poisson Model, reproduces the Samuelson effect (intensity and volatility increases as time to maturity decreases). It also reproduces the price correlation structure, highlighted here in the data, which decreases as two maturities move apart. This model has only three parameters that can be estimated using a moment method that we propose here. We demonstrate the usefulness of the model on a case of storage valuation by dynamic programming over a trading session.