About this document
Mean Reverting Processes in Energy Pricing by Saloni Ritolia is a document available to read on EtoBox.
This document discusses mean reversion processes for modeling energy prices. It explains that energy prices tend to gravitate towards an equilibrium price level determined by production costs and demand, unlike random walks which can reach unrealistic levels. A mean reverting process modifies the random walk assumption by incorporating the distance between the current and average price as well as the speed of reversion. Sample paths are shown to illustrate how mean reversion keeps prices within realistic bo
- Author
- Saloni Ritolia
- Language
- EN