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

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 numer...

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Detalles Bibliográficos
Autores principales: Di Persio, Luca, Marchesan, Michele
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4897130/
https://www.ncbi.nlm.nih.gov/pubmed/27437500
http://dx.doi.org/10.1155/2014/879892
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author Di Persio, Luca
Marchesan, Michele
author_facet Di Persio, Luca
Marchesan, Michele
author_sort Di Persio, Luca
collection PubMed
description 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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spelling pubmed-48971302016-07-19 Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results Di Persio, Luca Marchesan, Michele Int Sch Res Notices Research Article 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. Hindawi Publishing Corporation 2014-10-28 /pmc/articles/PMC4897130/ /pubmed/27437500 http://dx.doi.org/10.1155/2014/879892 Text en Copyright © 2014 L. Di Persio and M. Marchesan. https://creativecommons.org/licenses/by/3.0/ This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
spellingShingle Research Article
Di Persio, Luca
Marchesan, Michele
Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results
title Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results
title_full Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results
title_fullStr Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results
title_full_unstemmed Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results
title_short Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results
title_sort forecasting energy market contracts by ambit processes: empirical study and numerical results
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4897130/
https://www.ncbi.nlm.nih.gov/pubmed/27437500
http://dx.doi.org/10.1155/2014/879892
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AT marchesanmichele forecastingenergymarketcontractsbyambitprocessesempiricalstudyandnumericalresults

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