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2012-08-31Masterarbeit DOI: 10.18452/14173
Statistical Analysis of Trading Volumes on the Energy Market using a Local Parametric Approach
dc.contributor.authorEstevez, María de Lourdes Alavez
dc.date.accessioned2017-06-18T02:34:22Z
dc.date.available2017-06-18T02:34:22Z
dc.date.created2012-10-25
dc.date.issued2012-08-31
dc.identifier.urihttp://edoc.hu-berlin.de/18452/14825
dc.description.abstractInternational electricity trading in the European Union (EU) is the result of a liberalized energy market. Having access to inter-regional and international energy markets grants electric power producers and industrial consumers the possibility to hedge against diverse financial and non-financial risks. Therefore, a precise forecast of the energy demand becomes imminent to improve the risk management process of the electricity market players. A local adaptive multiplicative error model (MEM) is used to analyze and forecast German electricity demand traded at the European Power Exchange (EPEX SPOT). In order to assess the adaptive forecasts’ performance, we compare them against ad hoc fixed window forecasts. We find that in the relatively short-term both methods perform equally, while in the long-term the local adaptive forecasts outperform the ad hoc fixed window forecasts.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectforecastingeng
dc.subjecttrading volumeeng
dc.subjectMultiplicative error modeleng
dc.subjectlocal adaptive modelingeng
dc.subjectelectricity loadeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleStatistical Analysis of Trading Volumes on the Energy Market using a Local Parametric Approach
dc.typemasterThesis
dc.identifier.urnurn:nbn:de:kobv:11-100205297
dc.identifier.doihttp://dx.doi.org/10.18452/14173
dc.contributor.refereeHärdle, Wolfgang Karl
dc.contributor.refereeMihoci, Andrija
local.edoc.pages39
local.edoc.type-nameMasterarbeit
local.edoc.institutionWirtschaftswissenschaftliche Fakultät

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