Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results. (28th October 2014)

• Record Type: Journal Article
• Authors: Di Persio, Luca; Marchesan, Michele
• Other Names: Beg Ismat Academic Editor.
• Is Part Of: ISRN obstetrics and gynecology. Volume 2014(2014)
• Publication Date: 2014-10-28
• Subjects: Obstetrics -- Periodicals; Gynecology -- Periodicals; Pregnancy Complications; Genital Diseases, Female; Gynecology; Obstetrics; Electronic journals; Periodical; Periodicals; Fulltext; Internet Resources; Periodicals; 618.2
• DOI: 10.1155/2014/879892
• Languages: English
• ISSNs: 2090-4436

Abstract

Abstract : 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.