In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously. This model, based on Poisson measures and inspired by the Common Shock Poisson Model, reproduces the Samuelson effect (intensity and volatility increases as time to maturity decreases). It also reproduces the price correlation structure, highlighted here in the data, which decreases as two maturities move apart. This model has only three parameters that can be estimated using a moment method that we propose here. We demonstrate the usefulness of the model on a case of storage valuation by dynamic programming over a trading session.

翻译：本文提出了一种面向交易时段尺度的日内电价多维统计模型，该模型能够同步模拟所有电力产品。该模型基于泊松测度构建，并受通用冲击泊松模型启发，可再现萨缪尔森效应（即到期时间越短，波动强度与波幅越大）。同时，模型还捕捉了数据中凸显的价格相关结构特征——随着两种到期期限间隔增大，价格相关性递减。本模型仅含三个参数，可通过本文提出的矩估计法进行参数估计。我们通过一个交易时段内基于动态规划的储能估值案例，验证了该模型的有效性。