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Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results
Luca Di Persio1, Michele Marchesan1
1Department of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, Italy.
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.
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