Predictive Performance and Bias: Evidence from Natural Gas Markets | Zendy

Thomas Kremser | Zendy; Margarethe Rammerstorfer | Zendy

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Predictive Performance and Bias: Evidence from Natural Gas Markets

Author(s) -

Thomas Kremser,

Margarethe Rammerstorfer

Publication year - 2017

Publication title -

journal of management and sustainability

Language(s) - English

Resource type - Journals

eISSN - 1925-4733

pISSN - 1925-4725

DOI - 10.5539/jms.v7n2p1

Subject(s) - econometrics , spot contract , point (geometry) , natural gas , economics , variable (mathematics) , computer science , financial economics , mathematics , engineering , geometry , waste management , futures contract , mathematical analysis

This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in\udthe UK and the Henry Hub located in the US. For this, we analyze traders' expectations and implement a\udmechanical forecasting model that allows traders to predict future spot prices. Based on this, we compute the\uddeviations between expected and realized spot prices and analyze possible reasons and dependencies with other\udmarket variables. Overall, the mechanical predictor performs well, but a small forecast error remains which can\udnot be characterized by the explanatory variables included

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