Motivated by price prediction in Italian natural gas balancing market, we propose a model to forecast supply and demand curves evolving through time. Differently from the previous literature, where supply and demand curves are described as static objects, here we consider them as dynamic objects. Assuming that the future curve depends on the previous curves and on some quantities available at prediction time, we looked for a suitable functional autoregressive model with scalar covariates which maintains the monotonicity constraints. The results are satisfactory and coherent with standard time series analysis but with much richer information about the market dynamic.
Analysis of demand and supply curves in the Italian natural gas market through functional time series
CANALE, Antonio;
2013-01-01
Abstract
Motivated by price prediction in Italian natural gas balancing market, we propose a model to forecast supply and demand curves evolving through time. Differently from the previous literature, where supply and demand curves are described as static objects, here we consider them as dynamic objects. Assuming that the future curve depends on the previous curves and on some quantities available at prediction time, we looked for a suitable functional autoregressive model with scalar covariates which maintains the monotonicity constraints. The results are satisfactory and coherent with standard time series analysis but with much richer information about the market dynamic.File | Dimensione | Formato | |
---|---|---|---|
pr 2013 - SCo - Canale and Vantini.pdf
Accesso aperto
Tipo di file:
PDF EDITORIALE
Dimensione
82.39 kB
Formato
Adobe PDF
|
82.39 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.