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.
Highlights
In recent years the economy of energy markets has been interested by deep transformations due to political as well as technological changes all over the world
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
In this work we briefly present the theory of ambit processes emphasizing how they can be applied to the study of International Scholarly Research Notices energy markets’ forward prices
Summary
In recent years the economy of energy markets has been interested by deep transformations due to political as well as technological changes all over the world.
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