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

Int Sch Res Notices. 2014 Oct 28:2014:879892. doi: 10.1155/2014/879892. eCollection 2014.

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.