A kernel-based regression model plus scenario generation from forecast errors and a new Support Vector Sorting step produces ensemble price trajectories that improve both statistical accuracy and trading profits over benchmarks on German intraday continuous market data.
Harris Drucker, Christopher J
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Scenario generation of intraday electricity price paths for optimal trading in continuous markets
A kernel-based regression model plus scenario generation from forecast errors and a new Support Vector Sorting step produces ensemble price trajectories that improve both statistical accuracy and trading profits over benchmarks on German intraday continuous market data.