@inproceedings{763f666b476f4f28b1cca6bb8765fb2f,
title = "Anomal{\'i}as Financieras en el Mercado de Electricidad: An{\'a}lisis empririco de los precios spot",
abstract = "A key element that must consider the electricity generators in their operation planning process is the electricity price forecasting. Thus, for this task it is fundamental to identify a forecasting tool. In this direction, this paper presents forecast models for the price of electricity in the Colombian market. The different models are based in different schemes such as: autoregressive mobile media, generalized processes of conditional autoregressive heteroscedasticity (ARMA-GARCH), seasonal autoregressive models with mobile average and exogenous regressors (SARIMAX-GARCH). Likewise, using the theory of markets efficiency hypothesis the results show the presence of monthly calendar effects and the presence of nonlinear and asymmetric volatility which changes over time together with an inverse leverage effect.",
keywords = "Efficiency hypothesis, Electricity markets, Market anomalies, SARIMA-GARCH, Seasonality",
author = "Monica, {Andrea Arango A.} and Botero, {Sergio Botero} and Jaime, {Humberto Hoyos B.}",
note = "Publisher Copyright: {\textcopyright} 2018 AISTI.; 13th Iberian Conference on Information Systems and Technologies, CISTI 2018 ; Conference date: 13-06-2018 Through 16-06-2018",
year = "2018",
month = jun,
day = "27",
doi = "10.23919/CISTI.2018.8398640",
language = "Espa{\~n}ol",
volume = "2018-June",
series = "Iberian Conference on Information Systems and Technologies, CISTI",
publisher = "IEEE Computer Society",
pages = "1--7",
editor = "Alvaro Rocha and Cota, {Manuel Perez} and Adolfo Lozano-Tello and Ramiro Goncalves",
booktitle = "Memorias de la CISTI 2018 - 13a Conferencia Iberica de Sistemas y Tecnologias de Informacion / Proceedings of CISTI 2018 - 13th Iberian Conference on Information Systems and Technologies",
address = "Estados Unidos",
}