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We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction…
This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model {while studying Germany, the widest studied market in Europe}. The inter-dependencies are…
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for…
Natural gas is undoubtedly an essential component of the global energy system. Accurate short-term forecasting of natural gas price is challenging due to pronounced volatility driven by seasonal demand patterns, geopolitical developments,…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
The transition from traditional power grids to smart grids, significant increase in the use of renewable energy sources, and soaring electricity prices has triggered a digital transformation of the energy infrastructure that enables new,…
In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in the short term. For each energy, the future returns are…
Fifty North Sea oil & gas investment transactions were analysed using traditional spreadsheet based financial modelling methods. The purpose of the analysis was to determine if there was a statistically significant relationship between the…
We apply vector quantisation within mixed one- and two-factor Bergomi models to implement a fast and efficient approach for option pricing in these models. This allows us to calibrate such models to market data of VIX futures and options.…
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the…
The interdependency of power systems and natural gas systems is being reinforced by the emerging power-to-gas facilities (PtGs), and the existing gas-fired generators. To jointly improve the efficiency and security under diverse…
Crude oil is a major component in most advanced economies of the world. Accurately predicting and understanding the behavior of crude oil prices is important for economists, analysts, forecasters, and traders, to name a few. The price of…
In this paper, dual generalized long memory modelling has been proposed to predict the electricity spot price. First, we focus on modelling the conditional mean of the series so we adopt a generalized fractional k-factor Gegenbauer process…
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
The goal of this paper is to investigate how the marginal and dependence structures of a variety of multivariate L\'evy models affect calibration and pricing. To this aim, we study the approaches of Luciano and Semeraro (2010) and Ballotta…
Electricity markets often utilize the DC approximation of the AC power flow equations to facilitate solving an otherwise complex nonconvex optimization problem. These DC power flow equations have analogies to DC circuit laws such as…
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…