Quantitative Analysis of Energy Markets

摘要: In recent years, we have seen a growing interest in electricity and more generally energy markets, due to deregulation increasing sensitivity towards the environment climate change, particularly after nuclear accident of March 2011. Electricity belongs, together with emission trading permits, set commodities traded on power exchanges over‐the‐counter. So just like financial price analysis, models forecasts become increasingly important for both strategies risk management. Consequently, research has developed several directions, exploring that range from economics finance using theoretical quantitative analysis. Several papers tried explain economic features implications market structures, designs mechanisms, bidding systems, improve competition. Others focused aspects such as modelling, forecasting, management derivative pricing. Following Lemming (2004), can be categorized according input data employed estimate parameters: prices, is, spot, day‐ahead derivatives fundamentals, weather conditions, or supply demand. This distinction forms basis two kinds approach proposed literature: first is based stochastic differential equations borrowed Finance adapted Econometric applications; second bottom‐up describe dynamics fundamentals develop model capable reproducing hence predicting dynamics.