Continuous Time Series Models for Modeling Daily Electricity Prices

This paper aims to provide a unified frame for discussing, summarizing and organizing the main advances in electricity price modeling using the continuous time series modeling approach. This work is organized in three topics: how have been extracted the deterministic patterns present in the daily prices; how have been modeled the stochastic component using mean-reversion models; and how have been modeled the stochastic components using regime-switching models. The review leads to the conclusion that there is no agreement on which are the better approaches, and the analized papers do not discuss how the selected techniques for extracting the deterministic components affect the results of the modeling of the stochastic component. These are important question that must be answered in future research.