Quantitative And Empirical Analysis Of Energy Markets
Quantitative And Empirical Analysis Of Energy Markets

Author: Apostolos Serletis

Publisher: World Scientific

Published: 2007-04-27

Total Pages: 304

ISBN-13: 981447617X

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Bringing together leading-edge research and innovative energy markets econometrics, this book collects the author's most important recent contributions in energy economics. In particular, the book:• applies recent advances in the field of applied econometrics to investigate a number of issues regarding energy markets, including the theory of storage and the efficient markets hypothesis• presents the basic stylized facts on energy price movements using correlation analysis, causality tests, integration theory, cointegration theory, as well as recently developed procedures for testing for shared and codependent cycles• uses recent advances in the financial econometrics literature to model time-varying returns and volatility in energy prices and to test for causal relationships between energy prices and their volatilities• explores the functioning of electricity markets and applies conventional models of time series analysis to investigate a number of issues regarding wholesale power prices in the western North American markets• applies tools from statistics and dynamical systems theory to test for nonlinear dynamics and deterministic chaos in a number of North American hydrocarbon markets (those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas)

Energy & Finance
Energy & Finance

Author: Chaker Aloui

Publisher: Authorhouse UK

Published: 2010-11

Total Pages: 0

ISBN-13: 9781452028156

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Recent volatility shocks on energy markets, jointly with the increasing uncertainty on international economic and financial environments have led to new approaches in the analysis of energy markets behavior and investment choice in energy sectors. In this perspective, the main purpose of this book is to present some recent developments connected with energy and finance. More precisely, in this book we have attempted to present a balanced account of the relevance new financial theory in explicating some aspects of the energy markets and the application of new econometric methodology. The book contains three parts dealing with three complementary issues of energy markets. The first two parts are focused on forecasting energy commodities price volatilities, the dynamic relationship between international energy markets and stock markets, and energy risk valuation. The third part is quite different and deals with the investment choice problem under the assumption of uncertainty costs in the Tunisian energy industry. The first edition of this book developed out of various research projects we have been involved over the last year in the International Finance Group -Tunisia (El Manar University). This first edition presents some original empirical works focused on four main topics:

The Interrelationship Between Financial and Energy Markets
The Interrelationship Between Financial and Energy Markets

Author: Sofia Ramos

Publisher: Springer

Published: 2014-08-09

Total Pages: 315

ISBN-13: 3642553826

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In the last decade, energy markets have developed substantially due to the growing activity of financial investors. One consequence of this massive presence of investors is a stronger link between the hitherto segmented energy and financial markets. This book addresses some of the recent developments in the interrelationship between financial and energy markets. It aims to further the understanding of the rich interplay between financial and energy markets by presenting several empirical studies that illustrate and discuss some of the main issues on this agenda.

Handbook Of Energy Finance: Theories, Practices And Simulations
Handbook Of Energy Finance: Theories, Practices And Simulations

Author: Stephane Goutte

Publisher: World Scientific

Published: 2020-01-30

Total Pages: 827

ISBN-13: 9813278390

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Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.

Quantitative Energy Finance
Quantitative Energy Finance

Author: Fred Espen Benth

Publisher: Springer

Published: 2024-03-12

Total Pages: 0

ISBN-13: 9783031505966

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Power markets are undergoing a major transformation from gas and oil-fueled generation toward renewable electricity production from wind and solar sources. Simultaneously, there is an increasing demand for electrification, coupled with long-term climate-induced weather changes. The uncertainties confronting energy market participants require sophisticated modelling techniques to effectively understand risk, many of which are covered in this book. Comprising invited papers by high-profile researchers, this volume examines the empirical aspects of forward and futures prices, uncovering patterns of noise factors in various European electricity markets. Additionally, it delves into the recent, influential classes of Hawkes and trawl processes, emphasizing their significance in energy markets. The impact of renewables on energy market prices is a pivotal concern for both producers and consumers. Mean-field games provide a powerful mathematical framework for this, and a dedicated chapter outlining their dynamics is included in the book. The book also explores structural financial products and their connection to climate risk as a risk management tool, underscoring the essential need for a comprehensive understanding of these products in the realm of "green finance," to which the energy industry is integral. Lastly, the book thoroughly analyzes spatial smoothing and power purchase (PPA) contracts, addressing central issues in energy system planning and financial operations. Tailored for researchers, PhD students, and industry energy analysts, this volume equips readers with insights and tools to navigate the constantly evolving energy market landscape. It serves as a sequel to the earlier Quantitative Energy Finance book, featuring all-new chapters.

Quantitative Methods for Electricity Trading and Risk Management
Quantitative Methods for Electricity Trading and Risk Management

Author: S. Fiorenzani

Publisher: Springer

Published: 2006-01-31

Total Pages: 188

ISBN-13: 023059834X

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This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.