{"title":"Approximation of supply curves","authors":"Andres M. Alonso, Zehang Li","doi":"arxiv-2311.10738","DOIUrl":null,"url":null,"abstract":"In this note, we illustrate the computation of the approximation of the\nsupply curves using a one-step basis. We derive the expression for the L2\napproximation and propose a procedure for the selection of nodes of the\napproximation. We illustrate the use of this approach with three large sets of\nbid curves from European electricity markets.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2311.10738","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
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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