Forecasting energy market contracts by ambit processes: empirical study and numerical results (Q2338840)
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scientific article; zbMATH DE number 6420517
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| English | Forecasting energy market contracts by ambit processes: empirical study and numerical results |
scientific article; zbMATH DE number 6420517 |
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Forecasting energy market contracts by ambit processes: empirical study and numerical results (English)
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27 March 2015
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Summary: 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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0.8308178782463074
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0.7566036581993103
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0.7564977407455444
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0.7299613952636719
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