Probabilistic Forecasting in Day-Ahead Electricity Markets: Simulating Peak and Off-Peak Prices

In this paper we include dependency structures for electricity price forecasting and forecasting evaluation. We work with off-peak and peak time series from the German-Austrian day-ahead price, hence we analyze bivariate data. We first estimate the mean of the two time series, and then in a second step we estimate the residuals. The mean equation is estimated by OLS and elastic net and the residuals are estimated by maximum likelihood. Our contribution is to include a bivariate jump component on a mean reverting jump diffusion model in the residuals. The models' forecasts are evaluated using four different criteria, including the energy score to measure whether the correlation structure between the time series is properly included or not. In the results it is observed that the models with bivariate jumps provide better results with the energy score, which means that it is important to consider this structure in order to properly forecast correlated time series.Comment: 30 pages, 11 figures, 3 tables and Accepted in International Journal of Forecastin

Spin-orbit splitting and the tensor component of the Skyrme interaction

We study the role of the tensor term of the Skyrme effective interactions on the spin-orbit splittings in the N=82 isotones and Z=50 isotopes. The different role of the triplet-even and triplet-odd tensor forces is pointed out by analyzing the spin-orbit splittings in these nuclei. The experimental isospin dependence of these splittings cannot be described by Hartree-Fock calculations employing the usual Skyrme parametrizations, but is very well accounted for when the tensor interaction is introduced. The capability of the Skyrme forces to reproduce binding energies and charge radii in heavy nuclei is not destroyed by the introduction of the tensor term. Finally, we also discuss the effect of the tensor force on the centroid of the Gamow-Teller states.Comment: Submitted to Phys. Lett.