Table of Contents
International Scholarly Research Notices
Volume 2014, Article ID 879892, 10 pages
http://dx.doi.org/10.1155/2014/879892
Research Article

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

Department of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, Italy

Received 10 June 2014; Revised 15 July 2014; Accepted 18 July 2014; Published 29 October 2014

Academic Editor: Ismat Beg

Copyright © 2014 Luca Di Persio and Michele Marchesan. 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.

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.