We propose and investigate a market model for power prices, including most basic features exhibited by previous models and taking into account self-exciting properties due to high frequency trading effects. The model proposed extends Hawkes-type models by introducing a two-fold integral representation property.
A Random Field approach was already exploited by O.E. Barndorff-Nielsen, F.E. Benth and A. Veraart, who adopted the Ambit Field framework for describing the power price dynamics. The novelty contained in our approach consists in combining the basic features of both Branching Processes and Random Fields in order to get a realistic and parsimonious model setting. (Based on a joint paper written with C. Ma, Y. Jao, S. Scotti).