Pricing Wind Power Futures
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Pricing Wind Power Futures
Pricing Wind Power Futures
-
- 0 Rating
- 0 Reviews
- 3 Students Enrolled
Requirements
- https://quantinar.com/course/540/multivariate-statistical-analysis?q=mva
General Overview
Description
1️⃣ Wind energy faces volume and price risk; futures markets hedge low wind output periods.
2️⃣ The NAREX-WIDE index reflects aggregate wind utilisation; Nasdaq futures settle on it.
3️⃣ A CARMA(p,q) framework models deseasonalised wind-power dynamics in continuous time.
4️⃣ The FEB-Four algorithm links econometrics and finance: CARMA → ARMA → market-price-of-risk (MPR).
5️⃣ Gaussian and Lévy-driven CARMA models capture normal vs. heavy-tailed wind variations.
6️⃣ Box–Cox transformation and seasonal variance normalisation achieve near-Gaussian increments.
7️⃣ MPR estimation reveals backwardation—negative premiums consistent with producers’ hedging demand.
8️⃣ Empirical fit favours the Gaussian model for smooth IER-based variance stabilisation.
9️⃣ Non-Gaussian Lévy extensions capture spikes and intermittency at turbine and TSO levels.
🔟 The framework integrates energy meteorology, CARMA econometrics, and risk-neutral pricing for wind derivatives.
Meet the instructors !
Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn. He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”. He directs IDA Institute for Digital Assets,
University of Economic Studies, Bucharest, RO. His research focuses on data analytics, dimension reduction and quantitative finance. He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, S.M.A.R.T. (Specific, Measurable, Achievable, Relevant, Timely) data analytics, machine learning and cryptocurrency markets. He has created the www.quantlet.com platform, a cryptocurrency index, CRIX www.royalton-crix.com He is 玉山学者 （Yushan Scholar), web page hu.berlin/wkh