Relevant bibliographies by topics / Spot price model calibration

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Spot price model calibration'

Author: Grafiati
Published: 9 March 2023
Last updated: 31 July 2025

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Journal articles on the topic "Spot price model calibration"

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BARLOW, MARTIN, YURI GUSEV, and MANPO LAI. "CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS." International Journal of Theoretical and Applied Finance 07, no. 02 (2004): 101–20. http://dx.doi.org/10.1142/s0219024904002396.

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Spot prices of electricity and other energy commodities are often modeled by multifactor stochastic processes. This poses a problem of estimating models' parameters based on historical data, i.e. calibrating them to markets. Here we show how a traditional tool of Kalman Filters can be successfuly applied to do this task. We study two mean-reverting log-spot price models and the Pilipovic model using correspondingly Kalman Filter the extended Kalman Filter. The results of applying this method to market data from several power exchanges are discussed.
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HIKSPOORS, SAMUEL, and SEBASTIAN JAIMUNGAL. "ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING." International Journal of Theoretical and Applied Finance 10, no. 07 (2007): 1111–35. http://dx.doi.org/10.1142/s0219024907004573.

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In this article, we construct forward price curves and value a class of two asset exchange options for energy commodities. We model the spot prices using an affine two-factor mean-reverting process with and without jumps. Within this modeling framework, we obtain closed form results for the forward prices in terms of elementary functions. Through measure changes induced by the forward price process, we further obtain closed form pricing equations for spread options on the forward prices. For completeness, we address both an Actuarial and a risk-neutral approach to the valuation problem. Finall
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Aiube, Fernando Antonio Lucena, and Ariel Levy. "Recent movement of oil prices and future scenarios." Nova Economia 29, no. 1 (2019): 223–48. http://dx.doi.org/10.1590/0103-6351/4159.

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Abstract The recent movement of oil prices has brought many forecasts about what is coming in the near future. This is natural since the plunge in prices has been dramatic after 2014 and oil is an essential source of energy worldwide. This paper examines the probabilities of spot price scenarios. We model prices through stochastic processes focusing on the Schwartz-Smith model. The calibration is based on the term structure of future prices. Since the conditional distribution is log-normal we define the probability of a certain value of the spot price in a given time horizon. We found that the
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Andrade, José R., Jorge Filipe, Marisa Reis, and Ricardo J. Bessa. "Probabilistic Price Forecasting for Day-Ahead and Intraday Markets: Beyond the Statistical Model." Sustainability 9, no. 11 (2019): 1990. https://doi.org/10.3390/su9111990.

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Forecasting the hourly spot price of day-ahead and intraday markets is particularly challenging in electric power systems characterized by high installed capacity of renewable energy technologies. In particular, periods with low and high price levels are difficult to predict due to a limited number of representative cases in the historical dataset, which leads to forecast bias problems and wide forecast intervals. Moreover, these markets also require the inclusion of multiple explanatory variables, which increases the complexity of the model without guaranteeing a forecasting skill improvement
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FOUQUE, JEAN-PIERRE, YURI F. SAPORITO, and JORGE P. ZUBELLI. "MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES." International Journal of Theoretical and Applied Finance 17, no. 07 (2014): 1450043. http://dx.doi.org/10.1142/s0219024914500435.

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In this paper, we present a new method for computing the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility studied in Fouque et al. (2011). It provides an alternative method to the singular perturbation technique presented in Hikspoors & Jaimungal (2008). The main features of our method are twofold: firstly, it does not rely on any additional hypothesis on the regularity of the payoff function, and secondly, it allows an effective and straightforward calibration procedure of the group market parameters to implied volatilitie
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Masala, Giovanni, Marco Micocci, and Andrea Rizk. "Hedging Wind Power Risk Exposure through Weather Derivatives." Energies 15, no. 4 (2022): 1343. http://dx.doi.org/10.3390/en15041343.

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We introduce the industrial portfolio of a wind farm of a hypothetical company and its valuation consistent with the financial market. Next, we propose a static risk management policy originating from hedging against volumetric risk due to drops in wind intensity and we discuss the consequences. The hedging effectiveness firstly requires adequate modeling calibration and an extensive knowledge of these atypical financial (commodity) markets. In this hedging experiment, we find significant benefits for weather-sensitive companies, which can lead to new business opportunities. We provide a new f
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Gonzalez, Jhonny, John Moriarty, and Jan Palczewski. "Bayesian calibration and number of jump components in electricity spot price models." Energy Economics 65 (June 2017): 375–88. http://dx.doi.org/10.1016/j.eneco.2017.04.022.

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Boukai, Benzion. "On the Class of Risk Neutral Densities under Heston’s Stochastic Volatility Model for Option Valuation." Mathematics 11, no. 9 (2023): 2124. http://dx.doi.org/10.3390/math11092124.

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The celebrated Heston’s stochastic volatility (SV) model for the valuation of European options provides closed form solutions that are given in terms of characteristic functions. However, the numerical calibration of this five-parameter model, which is based on market option data, often remains a daunting task. In this paper, we provide a theoretical solution to the long-standing ‘open problem’ of characterizing the class of risk neutral distributions (RNDs), if any, that satisfy Heston’s SV for option valuation. We prove that the class of scale parameter distributions with mean being the forw
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Gürtler, Marc, and Thomas Paulsen. "Forecasting performance of time series models on electricity spot markets." International Journal of Energy Sector Management 12, no. 4 (2018): 617–40. http://dx.doi.org/10.1108/ijesm-12-2017-0006.

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Purpose Study conditions of empirical publications on time series modeling and forecasting of electricity prices vary widely, making it difficult to generalize results. The key purpose of the present study is to offer a comparison of different model types and modeling conditions regarding their forecasting performance. Design/methodology/approach The authors analyze the forecasting performance of AR (autoregressive), MA (moving average), ARMA (autoregressive moving average) and GARCH (generalized autoregressive moving average) models with and without the explanatory variables, that is, power c
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Shao, Lingjie, and Kaili Xiang. "Valuation of Swing Options under a Regime-Switching Mean-Reverting Model." Mathematical Problems in Engineering 2019 (January 9, 2019): 1–14. http://dx.doi.org/10.1155/2019/5796921.

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In this paper, we study the valuation of swing options on electricity in a model where the underlying spot price is set to be the product of a deterministic seasonal pattern and Ornstein-Uhlenbeck process with Markov-modulated parameters. Under this setting, the difficulties of pricing swing options come from the various constraints embedded in contracts, e.g., the total number of rights constraint, the refraction time constraint, the local volume constraint, and the global volume constraint. Here we propose a framework for the valuation of the swing option on the condition that all the above
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Dissertations / Theses on the topic "Spot price model calibration"

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CALDANA, RUGGERO. "Spread and basket option pricing: an application to interconnected power markets." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2012. http://hdl.handle.net/10281/39422.

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An interconnector is an asset that gives the owner the right, but not the obligation, to transmit electricity between two locations each hour of the day over a prefixed time period. The financial value of the interconnector is given by a series of options that are written on the price differential between two electricity markets, that is, a strip of European options on an hourly spread. Since the hourly forward price is not directly observable on the market, Chapter 1 proposes a practical procedure to build an hourly forward price curve, fitting both base load and peak load forward quotations.
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Blöchlinger, Lea. "Power Prices - A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation." kostenfrei, 2008. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3442.

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AMARAL, LUIZ FELIPE MOREIRA DO. "USING LINEAR AND NON-LINEAR APPROACHES TO MODEL THE BRAZILIAN ELECTRICITY SPOT PRICE SERIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3727@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>Nesta dissertação, estratégias de modelagem são apresentadas envolvendo modelos de séries temporais lineares e não lineares para modelar a série do preço spot no mercado elétrico brasileiro. Foram usados, dentre os lineares, os modelos ARIMA(p,d,q) proposto por Box, Jenkins e Reinsel (1994) e os modelos de regressão dinâmica. Dentre os não lineares, o modelo escolhido foi o STAR desenvolvido, inicialmente, por Chan e Tong (1986) e, posteriormente, por Teräsvista (1994). Para este modelo, testes do tipo Multiplicador de La
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Hey, Natascha. "Trading with concave (cross-) impact." Electronic Thesis or Diss., Institut polytechnique de Paris, 2025. http://www.theses.fr/2025IPPAX039.

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Dans les marchés financiers modernes, l’exécution de larges ordres influence significativement les prix des actifs, un phénomène connu sous le nom d’impact de prix. Comprendre et modéliser cet impact est essentiel pour les investisseurs institutionnels et les traders algorithmiques, car il affecte directement les coûts d’exécution, les stratégies de trading et l’efficience des marchés. Les modèles analytiquement tractables supposent souvent une fonction d’impact (croisé) linéaire, mais les observations empiriques montrent que l’impact de prix est généralement concave et transitoire, décroissan
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Talasli, Irem. "Stochastic Modeling Of Electricity Markets." Phd thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614034/index.pdf.

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Day-ahead spot electricity markets are the most transparent spot markets where one can find integrated supply and demand curves of the market players for each settlement period. Since it is an indicator for the market players and regulators, in this thesis we model the spot electricity prices. Logarithmic daily average spot electricity prices are modeled as a summation of a deterministic function and multi-factor stochastic process. Randomness in the spot prices is assumed to be governed by three jump processes and a Brownian motion where two of the jump processes are mean reverting. While the
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Štork, Zbyněk. "Term Structure of Interest Rates: Macro-Finance Approach." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-125158.

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Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage ass
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Hu, Hsu-Ning, and 胡緒寧. "The Relative Price Between Index Spot And Index Futures Using MS-AR(1) Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/jsgk6v.

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碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>95<br>Because of the high liquidity and lower fee, the index futures become the favorable tools for the purpose of hedging, arbitraging and speculating. In this paper, we use the weekly data of spot price and futures price from the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the MSCI Taiwan Index to investigate the behavior of the relative price between the spot and futures. We also check the relationship between the volatility of return of both spot and futures and the relative price. The empirical results indicated that : (1) Both relat
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Chen, Hung-Chung, and 陳弘忠. "Using the Application of Grey Relational Analysis and Artifical Neural Network to Establish an International Spot Gold Price Forecasting Model." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/29456059936645785233.

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碩士<br>義守大學<br>工業管理學系<br>102<br>The bankruptcy of Lehman Brothers in 2008 triggered the financial tsunami making the world’s central banks to increase the need for the reservation of gold. People are worried about the economic uncertainty caused by the financial tsunami, so they have more demand for capital preservation. As one of the international currency in circulation, gold is the first choice of investors among the general public. The international price of gold from $ 1,000 per ounce since 2008 has risen to nearly $ 2,000 writhin just 3 to 4 years, so the appreciation magnitude can not be
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FIANU, Emmanuel Senyo. "Risk Management for Energy Markets." Doctoral thesis, 2013. http://hdl.handle.net/11562/559149.

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ABSTRACT: Questa tesi si occupa di gestione del rischio. Il tema unificante è la gestione del rischio di mercato dell'energia. I diversi capitoli trattano la gestione del rischio in modo diverso e considerano diversi mercati energetici. Nel primo capitolo viene affrontato il tema della stima del rischio applicato a due principali mercati elettrici europei: Powernext (Francia) ed EEX (Germania e Austria). Nel secondo capitolo la misurazione del rischio viene effettuata mediante l’applicazione dell’allocazione ottima di portafoglio nei mercati dell'energia elettrica utilizzando i rendimenti calc
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De, Beer Johannes Scheepers. "The impact of single stock futures on the South African equity market." Diss., 2008. http://hdl.handle.net/10500/1339.

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Text in English with summaries in English and Afrikaans<br>The introduction of single stock futures to a market presents the opportunity to assess an individual company's response to futures trading directly, in contrast to the market-wide impact obtained from index futures studies. Thirty-eight South African companies were evaluated in terms of a possible price, volume, and volatility effect due to the initial trading of their respective single stock futures contracts. An event study revealed that SSF trading had little impact on the underlying share prices. A normalised volume compariso
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Books on the topic "Spot price model calibration"

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Power Prices: A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation. Südwestdeutscher Verlag für Hochschulschriften AG & Company KG, 2009.

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Krause, Timothy A. Pricing of Futures Contracts. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190656010.003.0015.

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This chapter examines the relation between futures prices relative to the spot price of the underlying asset. Basic futures pricing is characterized by the convergence of futures and spot prices during the delivery period just before contract expiration. However, “no arbitrage” arguments that dictate the fair value of futures contracts largely determine pricing relations before expiration. Although the cost of carry model in its various forms largely determines futures prices before expiration, the chapter presents alternative explanations. Related commodity futures complexes exhibit mean-reve
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Back, Kerry E. Forwards, Futures, and More Option Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0017.

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Forward measures are defined. Forward and futures contracts are explained. The spot‐forward parity formula is derived. A forward price is a martingale under the forward measure. A futures price is a martingale under a risk neutral probability. Forward prices equal futures prices when interest rates are nonrandom. The expectations hypothesis is explained. The option pricing formulas of Margabe (exchange options), Black (options on forwards), and Merton (random interest rates) are derived. Implied volatilities and local volatility models are explained. Heston’s stochastic volatility model is der
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Book chapters on the topic "Spot price model calibration"

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Helland, Eivind, Timur Aka, and Eric Winnington. "Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets." In Commodities, 2nd ed. Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9781003265399-29.

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Guthrie, Graeme. "Calibration Using Spot and Futures Price Data." In Real Options in Theory and Practice. Oxford University PressNew York, NY, 2009. http://dx.doi.org/10.1093/oso/9780195380637.003.0012.

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Abstract In many situations it is natural to adopt the spot price of a traded asset (often a commodity) as the state variable. For example, in the resource extraction problem of Section 8.3 the state variable was the price of copper, while in the machinery- replacement problem of Section 10.3 it was the price of fuel. Ready availability of spot price data also makes the spot price an attractive candidate for the state variable since such data can be used to estimate the parameters needed to build the tree (the size of up and down moves and the probabilities that they occur). Moreover, because
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Heston, Steven L. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options." In Stochastic Volatility. Oxford University PressOxford, 2005. http://dx.doi.org/10.1093/oso/9780199257195.003.0014.

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Abstract I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spot-asset returns. I introduce stochastic interest rates and show how to apply the model to bond options and foreign currency options. Simulations show that correlation between volatility and the spot asset’s price is important for explaining return skewness and strike-price biases in the Black– Scholes (1973) model. The solution technique is based on characteristic functions and can be app
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"- Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets." In Commodities. Chapman and Hall/CRC, 2015. http://dx.doi.org/10.1201/b19020-34.

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Lin, Yaojia, and Junyi Su. "The Tour Spot Attraction Evaluation and Analysis of National Forest Parks in Guangdong Province on Basis of the AHP Model." In Advances in Transdisciplinary Engineering. IOS Press, 2022. http://dx.doi.org/10.3233/atde221109.

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This article establishes the evaluation model on Analytic Hierarchy Process (AHP) basis and applies this model to evaluate and analyse the tour spot attraction of national forest parks. The model has 4 criteria hierarchies: attraction of tour resource environment factors, attraction of administration and services factors, attraction of social environment factors and attraction of economic factors. These factors are assorted into the 20 benchmark indexes such as aesthetics of the scenery spot, territory and location, the condition of service facilities, propaganda, marketing and ticket price, e
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Melino, Angelo, and Stuart M. Turnbull. "Pricing Foreign Currency Options with Stochastic Volatility." In Stochastic Volatility. Oxford University PressOxford, 2005. http://dx.doi.org/10.1093/oso/9780199257195.003.0013.

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Abstract This paper investigates the consequences of stochastic volatility for pricing spot foreign currency options. A diffusion model for exchange rates with stochastic volatility is proposed and estimated. The parameter estimates are then used to price foreign currency options and the predictions are compared to observed market prices. We find that allowing volatility to be stochastic results in a much better fit to the empirical distribution of the Canada–U.S. exchange rate, and that this improvement in fit results in more accurate predictions of observed option prices. Recent attempts to
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Hao, Xinlei. "Crude Oil Prediction Based on Multi-Factor LSTM-Transformer Algorithm." In Advances in Transdisciplinary Engineering. IOS Press, 2024. http://dx.doi.org/10.3233/atde240114.

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The precise prediction of global oil prices holds immense importance in maintaining economic stability and mitigating risks. This paper proposes a novel machine learning-based time series forecasting method using the combination of Long Short-Term Memory (LSTM) and Transformer algorithms. To address the low dimensionality of predictors for the Transformer and preserve the chronological order of data, LSTM networks with a configured time step are employed for transformation. For illustration and verification purposes, a multi-factor LSTM-Transformer model is used to predict the crude oil spot p
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Zhu, Heliang, Xi Zhang, and Patricia Ordenaz de Pablos. "The Role of Gold Market as Stabilizer of Service Industry." In Advances in Logistics, Operations, and Management Science. IGI Global, 2016. http://dx.doi.org/10.4018/978-1-4666-9758-4.ch014.

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China's gold futures market has been in market for more than four years, is the risk transfer function fully realized? How the performance of hedging? Based on the data of futures prices and spot prices from January 9th of 2008 to December 31st of 2010, we use the following four statistical models such as traditional regression model (OLS), two-variable vector auto regression model (B-VAR), error correction hedging model (ECM), and error correction GARCH model (EC-GARCH) to perform stationarity and cointegration test On the basis of minimum risk hedge ratio estimated, the following conclusions
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Yao, Yousheng, E. Tang, Fangtian Ying, et al. "Mobile Agricultural Products Vending Vehicle with Autonomous Navigation Selling on Town Roads." In Frontiers in Artificial Intelligence and Applications. IOS Press, 2024. http://dx.doi.org/10.3233/faia231484.

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In the future, farmers may be able to enhance their agricultural sales by designing an efficient interaction space and sales model for mobile sales vehicles. The traditional mobile sales vehicle sales methodology is primarily based on offline spot sales. Offline fixed-point sales cannot guarantee consumer flow and variety quality, cannot be traced, and the price is rising due to logistics and operation costs. This article presents a mobile sales vehicle for farmers’ direct sales operations that integrates agricultural products with live e-commerce for public sales and presentation. The combina
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Potluri, Dr Tejaswi, Sarika Nyaramneni, Jahnavi Somavarapu, and Dr M. Ravikanth. "ANALYSIS OF V-D BASED FEATURES FOR DISTRACTED DRIVER MONITORING SYSTEM USING DEEP LEARNING." In Futuristic Trends in Artificial Intelligence Volume 3 Book 3. Iterative International Publishers, Selfypage Developers Pvt Ltd, 2024. http://dx.doi.org/10.58532/v3bkai3p1ch1.

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According to the survey, ‘Distracted Driving in India: a study mobile phone usage, pattern &amp; behavior’ by SaveLIFE Foundation, details that, in the last decade alone, India lost 1.3 million people to road cashes and many are injured. India has the highest number of road crash fatalities, while it is just 1% of the world’s vehicles, India accounts for over 10% of global road crash fatalities. The most frightening thing is that this is only one of the many ways a driver is being distracted like drowsiness, procrastination, eating, drinking, talking to the passengers, etc. Advanced safety tec
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Conference papers on the topic "Spot price model calibration"

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Li, Xiwang, Zhenyu Fan, Zhihong Zhao, and Mingsheng Suo. "Day-Ahead Spot Electricity Price Prediction Based on Hybrid Model." In 2024 10th International Conference on Computer and Communications (ICCC). IEEE, 2024. https://doi.org/10.1109/iccc62609.2024.10942240.

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Shi, Yue, Yihan Zhang, Jiangbo Wang, et al. "Research on electricity spot market price prediction model based on PSO optimization LS-SVM." In 2024 4th International Conference on Smart Grid and Energy Internet (SGEI). IEEE, 2024. https://doi.org/10.1109/sgei63936.2024.10914261.

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Sun, Jinlong, Guangjun He, Chao Xiao, et al. "Price Spread Direction Prediction Based on an Improved LSTM Model in China’s Electricity Spot Market." In 2024 5th International Conference on Power Engineering (ICPE). IEEE, 2024. https://doi.org/10.1109/icpe64565.2024.10929104.

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Wang, Ziyang, Masahiro Mae, and Ryuji Matsuhashi. "Novel Multimodal Data for Enhanced Electricity Spot Price Forecasting Using A CNN-LSTM Ensemble Learning Model for the Japan Electric Power eXchange (JEPX) Spot Market." In 2024 20th International Conference on the European Energy Market (EEM). IEEE, 2024. http://dx.doi.org/10.1109/eem60825.2024.10608876.

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Chong, Daniel J. S., Timothy G. Walmsley, Martin J. Atkins, Botond Bertok, and Michael RW Walmsley. "Aotearoa-New Zealand�s Energy Future: A Model for Industrial Electrification through Renewable Integration." In The 35th European Symposium on Computer Aided Process Engineering. PSE Press, 2025. https://doi.org/10.69997/sct.189578.

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This work explores Aotearoa-New Zealand�s potential to fully electrify and source industrial process heat demands from renewable energy for 286 industrial sites while exploring the feasibility of green methanol production using excess electricity. Most energy models rely on spatially aggregated supply and demand, which limits the accurate representation of energy value chains. To address this limitation, the model incorporates industrial sites with varied temperature profiles, enabling the use of diverse heating technologies such as heat pumps, electrode boilers, bubbling fluidised bed reactor
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Liu, Duan, Zhicheng Cai, and Xiaoping Li. "Hidden Markov Model Based Spot Price Prediction for Cloud Computing." In 2017 IEEE International Symposium on Parallel and Distributed Processing with Applications and 2017 IEEE International Conference on Ubiquitous Computing and Communications (ISPA/IUCC). IEEE, 2017. http://dx.doi.org/10.1109/ispa/iucc.2017.00152.

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Li, Zheng, William Tärneberg, Maria Kihl, and Anders Robertsson. "Using a Predator-Prey Model to Explain Variations of Cloud Spot Price." In 6th International Conference on Cloud Computing and Services Science. SCITEPRESS - Science and and Technology Publications, 2016. http://dx.doi.org/10.5220/0005808600510058.

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Zheng Yanan, Gengyin Li, Ming Zhou, Shan Lin, and K. L. Lo. "An improved grey model for forecasting spot and long term electricity price." In 2010 International Conference on Power System Technology - (POWERCON 2010). IEEE, 2010. http://dx.doi.org/10.1109/powercon.2010.5666371.

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Peng, Chun-Cheng, Chia-Wei Yeh, Jun-Gong Wang, Shih-Hao Wang, and Chung-Wei Huang. "Prediction of LME lead spot price by neural network and NARX model." In 2020 IEEE 2nd Eurasia Conference on Biomedical Engineering, Healthcare and Sustainability (ECBIOS). IEEE, 2020. http://dx.doi.org/10.1109/ecbios50299.2020.9203577.

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Amekraz, Zohra, and Moulay Youssef. "Prediction of Amazon spot price based on chaos theory using ANFIS model." In 2016 IEEE/ACS 13th International Conference of Computer Systems and Applications (AICCSA). IEEE, 2016. http://dx.doi.org/10.1109/aiccsa.2016.7945632.

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Reports on the topic "Spot price model calibration"

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Balat, Jorge, Juan Esteban Carranza, Juan David Martin, and Álvaro Riascos. El efecto de cambios en la regulación del mercado mayorista de electricidad en Colombia en un modelo estructural de subastas complejas. Banco de la República, 2022. http://dx.doi.org/10.32468/be.1211.

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Abstract:
We investigate the effects of a change in the regulation of the spot market for electricity in Colombia that took place in 2009. Specifically, the regulation switched from an auction mechanism with simple bids to one with complex bids to allow generators to separately bid on variable and quasi-fixed components. This greater flexibility was introduced to reduce production inefficiencies that arise from non-convexities in the cost structures of thermal generators. In this paper, we estimate and compute a structural model to quantify the effects of this change on allocation efficiency along with
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2

Amacher, Gregory S., Olli-Pekka Kuuselaa, and Kwok Ping Tsang. Intensity-Based Permit Quotas and the Business Cycle: Does Flexibility Pay Off? Inter-American Development Bank, 2013. http://dx.doi.org/10.18235/0011514.

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Abstract:
Tradable permit markets for carbon dioxide (C02) emissions respond to short-run fluctuations in economic activity. To provide stability, both price and quantity interventions have been proposed. This paper focuses on the relative performance of fixed versus intensity allowances in the presence of both productivity and energy price uncertainty. Both instruments achieve the same steady-state emissions reduction target of 20 percent, which is similar to the current policy proposals, and the regulator then chooses the allowance policy that has the lowest expected abatement cost. A standard real bu
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