Welcome to the SCL Computational Finance Research Interest Group Page!
This is one of the research interest groups under SCL that studies mathematical models, algorithms and data analysis techniques to solve problems related to behavior of certain financial systems.
Currently, there are one active research project by the group, which is the following:
This study presents a mathematical model that captures the unique spot price dynamics of the Philippine Wholesale Electricity Spot Market (WESM). A three-state regime-switching model is constructed and employed a seasonal clustering algorithm to construct a "seasonal" model that captures the potential periodic patterns in the frequency of spikes. Two important regulations are also examined, the primary and secondary price caps, and add their effects to our price simulations. Finally, a comparison of forecasting performance is made between the original model, its seasonal variant, and a simpler model consisting of 24 AR(1) processes.
1. A Seasonal Regime-Switching Spot Price Model for the Philippine Electricity Market
Sebastian Ibañez and Adrian Roy Valdez, Ph.D.
FacultyAdrian Roy Valdez, Ph.D.
Jaymar Soriano, M.Sc.
For queries, comments, and suggestions on matters with regards to the group, please email Dr. Adrian Roy Valdez at firstname.lastname@example.org.