title: Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results.
abstract: In the present paper we exploit the theory of ambit processes to develop a model which is able to effectively forecast prices of forward contracts written on the Italian energy market. Both short-term and medium-term scenarios are considered and proper calibration procedures as well as related numerical results are provided showing a high grade of accuracy in the obtained approximations when compared with empirical time series of interest.
authors.affiliation: Department of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, Italy.
authors.forename: Luca
authors.initials: L
authors.lastname: Di Persio
authors.affiliation: Department of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, Italy.
authors.forename: Michele
authors.initials: M
authors.lastname: Marchesan