Short-to mid-term day-ahead electricity price forecasting using futures

R Steinert, F Ziel - The Energy Journal, 2019 - journals.sagepub.com
Due to the liberalization of markets, the change in the energy mix and the surrounding
energy laws, electricity research is a dynamically altering field with steadily changing …

Pricing electricity day-ahead cap futures with multifactor skew-t densities

T Matsumoto, D Bunn, Y Yamada - Quantitative Finance, 2022 - Taylor & Francis
Short-term risk management is becoming increasingly significant in power trading as the
intermittent renewable generators introduce more weather risk into the price formation …

Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures

HMCV Sebastião, PMC Godinho… - Scientific Annals of …, 2020 - ceeol.com
This study investigates the use of several trading strategies, based on Machine Learning
methods, to profit on the risk premium of the Nordic electricity base-load week futures. The …