currently I am working through the paper of Tino Kluge "Pricing Swing Options and other Electricity Derivatives" to get a better understanding about the power markets.

The author establishes methods in order to estimate relevant parameters for a ornstein-uhlenbeck process with jumps in chapter 3.3 by the means of linear regression and maximum likelihood.

I implemented the formulas and results seem sensible, but does anyone of you know more data sources than the small table on page 31 of the paper, where I could get benchmark results for more diverse time periods and markets.



I found New Zealand has some great open source data.

The ASX publishes live forwards:

You can also get historic data from the following authority:

If you are after high freq data I'm guessing you may struggle

  • $\begingroup$ Thanks, I have a Bloomerberg account. By using SEUM I get all the data I need. The question is more concerned about comparables for mean reversion speed and volatility of the respective stochastic spot price model. $\endgroup$ – Fugazi Feb 10 '18 at 20:51
  • $\begingroup$ Ah ok, your best bet is taking a third party model and comparing your parameters $\endgroup$ – Alexander McFarlane Feb 13 '18 at 13:11

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