Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results | Zendy

Luca Di Persio | Zendy; Michele Marchesan | Zendy

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Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results

Author(s) -

Luca Di Persio,

Michele Marchesan

Publication year - 2014

Publication title -

international scholarly research notices

Language(s) - English

Resource type - Journals

ISSN - 2356-7872

DOI - 10.1155/2014/879892

Subject(s) - exploit , computer science , term (time) , series (stratigraphy) , calibration , energy (signal processing) , energy market , empirical research , econometrics , economics , mathematics , statistics , renewable energy , paleontology , physics , computer security , quantum mechanics , electrical engineering , biology , engineering

In the present paper we exploit the theory of ambit processes to develop a model which is able to effectively forecast prices of forward contracts written on the Italian energy market. Both short-term and medium-term scenarios are considered and proper calibration procedures as well as related numerical results are provided showing a high grade of accuracy in the obtained approximations when compared with empirical time series of interest.

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