Applications of Mean-reverting Processes in Alberta Energy Markets

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dc.contributor.advisorSwishchuk, Anatoliy V.
dc.contributor.advisorGoutte, Stéphane
dc.contributor.authorLu, Weiliang
dc.contributor.committeememberSwishchuk, Anatoliy V.
dc.contributor.committeememberGoutte, Stéphane
dc.contributor.committeememberQiu, Jinniao
dc.contributor.committeememberBadescu, Alexandru M.
dc.date2020-11
dc.date.accessioned2020-09-24T20:56:30Z
dc.date.available2020-09-24T20:56:30Z
dc.date.issued2020-09-21
dc.description.abstractThis thesis introduce fuel-switching price, which designed for encouraging power plant companies to switch from coal to natural gas when they produce electricity and successfully applied on European market, to Albertan Market. Moreover, we consider a energy-switching price which consider power switch from natural gas to wind. We modeled these two prices using five mean reverting processes including Regime-switching processes, Lévy-driven Ornstein-Uhlenbeck process and Inhomogeneous Geometric Brownian Motion, and estimate them based on multiple procedures such as Maximum likelihood estimation and Expectation-Maximization algorithm. At last, this thesis prove previous result applied on Albertan Market that the jump modeling techniques is needed when modeling fuel-switching data. In addition, it not only give promising conclusion on the necessity of introducing Regime-switching models to the fuel-switching data, but also show that Regime-switching model is better fitted to the data.en_US
dc.identifier.citationLu, W. (2020). Applications of Mean-reverting Processes in Alberta Energy Markets (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/38226
dc.identifier.urihttp://hdl.handle.net/1880/112566
dc.language.isoengen_US
dc.publisher.facultyScienceen_US
dc.publisher.institutionUniversity of Calgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.en_US
dc.subject.classificationEducation--Financeen_US
dc.subject.classificationEducation--Mathematicsen_US
dc.subject.classificationStatisticsen_US
dc.subject.classificationEnergyen_US
dc.titleApplications of Mean-reverting Processes in Alberta Energy Marketsen_US
dc.typemaster thesisen_US
thesis.degree.disciplineMathematics & Statisticsen_US
thesis.degree.grantorUniversity of Calgaryen_US
thesis.degree.nameMaster of Science (MSc)en_US
ucalgary.item.requestcopytrueen_US
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