Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 30172
Optimized Calculation of Hourly Price Forward Curve (HPFC)

Authors: Ahmed Abdolkhalig

Abstract:

This paper examines many mathematical methods for molding the hourly price forward curve (HPFC); the model will be constructed by numerous regression methods, like polynomial regression, radial basic function neural networks & a furrier series. Examination the models goodness of fit will be done by means of statistical & graphical tools. The criteria for choosing the model will depend on minimize the Root Mean Squared Error (RMSE), using the correlation analysis approach for the regression analysis the optimal model will be distinct, which are robust against model misspecification. Learning & supervision technique employed to determine the form of the optimal parameters corresponding to each measure of overall loss. By using all the numerical methods that mentioned previously; the explicit expressions for the optimal model derived and the optimal designs will be implemented.

Keywords: Forward curve, furrier series, regression, radial basic function neural networks.

Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1058307

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3835

References:


[1] iEnergy Australia Pty Ltd, Brisbane, Australia , (www.ienergy.com.au )
[2] Pilipovic Dragana.1997. Valuing and Managing Energy Derivatives. McGraw-Hill.
[3] Alexander Eydeland &Krzysztof Wolynie.2003.Energy and Power Risk Management. John Wiley &Sons, Inc.
[4] Kecman Vojislav .2001.Learning and Soft Computing. A Bradford Book, the MIT Press. Cambridge, Massachusetts.
[5] Sadeghi and Ware," Mean Reverting Models for Energy Option Pricing," Working Paper, University of Calgary, 2001.
[6] Panagiotis A. Dafas, "Estimating the parameters of a mean-reverting Markov- switching jump-diffusion model for crude oil spot prices" Working Paper, University of Calgary, 2004.
[7] Alvaro Cartea and Marcelo G. Figueroa," Pricing in Electricity Markets: a mean reverting jump diffusion model with seasonality", Working Paper, University of London, 2005.
[8] Lei Xiong," Stochastic Models for Electricity Prices", Working Paper, University of Calgary, 2004.
[9] Patrick MacDonald Patrick," Contingent Claims in the Alberta Electricity Market". Working Paper, University of Calgary.2003.
[10] The Information Technology Laboratory (ITL) at the National Institute of Standards and Technology (NIST). (http://www.itl.nist.gov)
[11] http://www.sixsigmafirst.com/Simple_regression_analysis.htm
[12] http://en.wikipedia.org/wiki/Nonlinear_regression