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加州电力备用容量市场的效率AI 解读

Abstract We test the efficiency of the California electricity reserves market by examining systematic differences between its day‐ and hour‐ahead prices. We uncover significant day‐ahead premia, which we attribute to market design characteristics. On the demand side, the market design established a principal–agent relationship between the markets' buyers (principal) and their supervisory authority (agent). The agent had very limited incentives to shift reserve purchases to…

水平跃迁与经济时间序列中的长记忆假象AI 解读

When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and derive an approximation to this bias. The asymptotic bias lies on the (0, 1) interval, and its exact value depends on the ratio of the expected number of level shifts to a user-defined bandwidth parameter.…