  In this paper we address the issue of modeling electricity loads and prices
with diffusion processes. More specifically, we study models which belong to
the class of generalized Ornstein-Uhlenbeck processes. After comparing
properties of simulated paths with those of deseasonalized data from the
California power market and performing out-of-sample forecasts we conclude
that, despite certain advantages, the analyzed continuous-time processes are
not adequate models of electricity load and price dynamics.

Condensed Matter