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- W2101889309 abstract "In recent years, we have seen a growing interest in electricity and more generally in energy markets, due to deregulation and to increasing sensitivity towards the environment and climate change, particularly after the nuclear accident of March 2011. Electricity belongs, together with emission trading permits, to the set of commodities traded on power exchanges and over‐the‐counter. So just like financial markets, energy price analysis, models and forecasts have become increasingly important for both trading strategies and risk management. Consequently, research has developed in several directions, exploring models that range from economics to finance using both theoretical and quantitative analysis. Several papers have tried to explain the economic features and implications of market structures, designs and mechanisms, of bidding systems, and of strategies to improve competition. Others have focused on financial aspects such as price modelling, forecasting, risk management and derivative pricing. Following Lemming (2004), electricity price models can be categorized according to the input data employed to estimate parameters: market prices, that is, spot, day‐ahead and derivatives prices, and data on fundamentals, such as weather conditions, or supply and demand. This distinction forms the basis of two kinds of approach proposed in the literature: the first is based on stochastic differential equations borrowed from Finance and adapted for Econometric applications; the second is based on bottom‐up models that describe the dynamics of fundamentals to develop a model capable of reproducing and hence predicting price dynamics." @default.
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- W2101889309 date "2013-01-01" @default.
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- W2101889309 title "Quantitative analysis of energy markets" @default.
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