PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F13%3A00212835" target="_blank" >RIV/68407700:21230/13:00212835 - isvavai.cz</a>

Výsledek na webu

<a href="http://aop.vse.cz" target="_blank" >http://aop.vse.cz</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE

Popis výsledku v původním jazyce

There is a need to focus on electricity derivatives trading, because this is an important and expanding field. The aim of this paper is the long-term forecasting of the daily futures prices. For this were used two approaches and these are the use of spotprices forecasting to model the future prices and the second is to forecast future prices directly. We will show on the EEX case of study that better results can be achieved by the first approach, where we use mean-reverting, jump-diffusion and regime-switching models for spot prices forecasting. The best results of the spot price forecasting are achieved by the jump-diffusion model, where we will present the benefit of usage of filtrated calibration data.

Název v anglickém jazyce

PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE

Popis výsledku anglicky

There is a need to focus on electricity derivatives trading, because this is an important and expanding field. The aim of this paper is the long-term forecasting of the daily futures prices. For this were used two approaches and these are the use of spotprices forecasting to model the future prices and the second is to forecast future prices directly. We will show on the EEX case of study that better results can be achieved by the first approach, where we use mean-reverting, jump-diffusion and regime-switching models for spot prices forecasting. The best results of the spot price forecasting are achieved by the jump-diffusion model, where we will present the benefit of usage of filtrated calibration data.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Oeconomica Pragensia

ISSN

0572-3043

e-ISSN

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Svazek periodika

6

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

65-81

Kód UT WoS článku

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EID výsledku v databázi Scopus

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