38TH INTERNATIONAL SYMPOSIUM ON FORECASTING
https://whova.com/embedded/subsession/isf_201806/363819/363820/
Date Time: Tue Jun 19, 2018, 2:00 PM - 2:20 PM
Room: ECCR 245
Mid-Term Stochastic Modeling of Energy Markets and its Applications
Historically energy utilities have focused on developing short-term market models for operational purposes, and long-term models for investment and regulatory purposes. However, mid-term models ranging from a month to several years has been less explored. I will present an approach to building an all-encompassing stochastic mid-term model for markets, resources and portfolios. This is based on a model that has been successfully operational in the real world for active portfolio management and trading.
Some of the challenges we faced include multiple collinear price nodes, heteroscedasticity, non-normal distributions, different time granularities, and non-linear variable dependencies. We addressed these issues using a combination of multiplicative seasonal decomposition, adjustment through hierarchical models, seasonal bootstrapping, and use of predictive models such as Random Forest and KNN.
We will end the talk with examples of real-world applications such as delta-hedging and budgeting.