Il giorno Giovedì 22 Gennaio 2015, alle ore 14:30
presso la sede di Prometeia (sala grande, primo piano)
via G.Marconi 43, Bologna
Paolo FOSCHI
(Università di Bologna)
terrà un seminario dal titolo
"Forecasting forward price curves in electricity markets: a factor model"
Abstract
A dynamic factor model for the cross section for italian electricity
forward prices is presented. This market is characterised by a small
number of quotations for each forward contract and by a large bid-ask
spread. Moreover, it is not uncommon to observe inconsistencies in
the cross section of forward quoted prices. The aim of the proposed
model is twofold. Firstly, this approach allows to filter out noise
and to help in identifying inconsistencies. Secondly, it provide a
tool to fill-in missing quotations and to unpack forward contract with
long delivery into smaller ones (i.e. a quarter or a calendar into its
monthly components).
The model is built using monthly contracts are used as basic entities
and their dynamics is modeled as follows. The cross section of those
contracts is decomposed in two set of factors: the first set, which
depends on the time-to-delivery, allows to financial structure of the
market. The second set, which depends on the actual delivery month,
will capture the seasonal component. The parameters of those factors
are allowed to be slowly varying to achieve maximal flexibility.