供给曲线的近似

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-10-24 DOI:arxiv-2311.10738

Andres M. Alonso, Zehang Li

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引用次数: 0

摘要

在这篇文章中，我们用一步法来说明供给曲线的近似计算。我们导出了l2逼近的表达式，并给出了逼近节点的选择过程。我们用来自欧洲电力市场的三组大型出价曲线来说明这种方法的使用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Approximation of supply curves

In this note, we illustrate the computation of the approximation of the supply curves using a one-step basis. We derive the expression for the L2 approximation and propose a procedure for the selection of nodes of the approximation. We illustrate the use of this approach with three large sets of bid curves from European electricity markets.

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arXiv - QuantFin - Pricing of Securities

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