Energy markets
Neural network middle-term probabilistic forecasting of daily power consumption
The authors propose a new modeling approach that incorporates trend, seasonality and weather conditions as explicative variables in a shallow neural network with an autoregressive feature.
The impact of energy costs on industrial performance: identifying price and quantity effects in the aluminum industry using a data envelopment analysis approach
The authors build a frontier function model with technical and cost efficiency measures to assess the impact of energy costs on competitiveness in the aluminum industry, a heavy energy consumer, by identifying what may be attributed to price and quantity…
Blockchain consensus protocols, energy consumption and cryptocurrency prices
The authors employ portfolio analysis to explore whether energy is a fundamental economic factor affecting cryptocurrency prices.
An empirical analysis of the Brazilian Transmission Service Operators incentive regulation
In this paper, we analyze the results of incentive regulation for Brazilian transmission companies regarding operational costs.
Estimating the hedging potentials of Bitcoin and energy returns
This paper investigates the significance of oil, gold and coal returns on Bitcoin returns for a research duration of January 2011 to September 2018 on a monthly periodic basis.
The European intraday electricity market: a modeling based on the Hawkes process
This paper deals with the modeling of trading activity on the European electricity intraday market by a self-exciting point process.
The liquefied natural gas spot market and valuation of the rerouting option
The goal of this paper is twofold: (1) to describe the new outlook of LNG markets, which has become more and more spot-centric, with Asian LNG futures bringing transparency to spot and forward prices; and (2) to address the valuation of the rerouting…
Performance of value-at-risk averaging in the Nordic power futures market
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.
Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for electricity supply shocks based on a time-varying…
Derivatives house of the year: Macquarie Group
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
Optimal weights and hedge ratio behavior in Brent oil and Islamic Gulf stock markets
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
Optimal extraction and taxation of strategic natural resources: a differential game approach
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis
The authors examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures.
Carbon pricing paths to a greener future, and potential roadblocks to public companies’ creditworthiness
In this paper, the authors introduce a valuation-based approach to estimate how energy transition risk may impact the creditworthiness of public companies globally within the next thirty years.
A positive response to negative oil prices
Overhauling pricing models could reap rewards even if prices don’t cross zero again
Podcast: Kaminski and Ronn on negative oil and options pricing
The market is gravitating to the Bachelier model as an alternative to Black 76
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
Introducing stylized facts on electricity futures through a market impact model
This paper provides an alternative way to introduce the stylized facts on electricity futures.
The impact of end-user market integration and the smart grid on electricity retailers in the Nordic region
With the help of a mixed complementarity problem formulation that describes a simplified market setting with two competing retailers, this paper analyzes the impact of the pending market changes on electricity retailers’ price markup and profit.
Estimating marginal effects of key factors that influence wholesale electricity demand and price distributions in Texas via quantile variable selection methods
Using a large data set from the Electric Reliability Council of Texas, this study uses quantile regressions and attendant variable selection methods to choose the most important factors that influence demand and price distributions; subsequently, the…
When climate risk starts to bite
Energy firms under increased pressure to assess physical climate risk
Energy firms grapple with rising customer risk
A case study on developing dynamic risk-based customer screening