Abstract
Earlier discarded as an irritant by-product of crude oil exploration, Natural gas is considered as world’s most important fuel due to environmental considerations. It plays an important role in meeting global energy demand and has significant share in the international energy market. Natural Gas is emerging as an alternative to crude oil and coal as the main energy source and the global energy consumption pattern has transformed from preeminence of crude oil and gas to escalating share of gas. Accordingly, there is a spur in demand of natural gas and business entities across the world are interested to comprehend natural gas price forecast. The forecast is likely to meet different objectives of producers, suppliers, traders and bankers engaged in natural gas exploration, production, transportation and trading as well as end users. For the supplier the objective is to meet the demand with profit and for the trader it is for doing business. Of late researchers have exercised different approaches to forecast price by developing numerical models in terms of specific parameters which have relationship with Natural Gas price. This chapter examines application of contemporary forecasting techniques—Time Series Analysis as well as Nonparametric Regression invoking Alternating Conditional Expectations (ACE) to forecast Natural Gas price. Noticeable predictor variables that may explicate statistically important amount of inconsistencies in the response variable (i.e. Natural Gas price) have been recognized and the correlation between variables has been distinguished to model Natural Gas price.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
D F. Reiter (1999) Prediction of short-term natural gas prices using econometric and neural network models, SPE Hydrocarbon Economics and Evaluation Symposium, Dallas, Texas 21–23 March 1999. SPE Publication # 52960
Solomon (2001) The responsiveness of global E &P industry to changes in petroleum prices: evidence from 1960–2000, SPE hydrocarbon economics and evaluation symposium, Dallas, Texas, 2–3 April 2001. SPE publication # 68587
Zamani, An econometrics forecasting model of short term oil spot prices. 6th IAEE European Conference, 2004, pp 1–7
Pindyck R S (1994) Inventories and the short-run dynamics of commodity prices. RAND J Econ 25(1):141–159 (The RAND Corporation), Spring.
Stephane D, Marcelo, Karadeloglou, Pavlos, Kaufmann, Robert K, Sanchez (2007) Modeling the world oil market: Assessment of a quarterly econometric model. energy policy 35(1):178–191
Agbon (2003) Predicting oil and gas spot prices using chaos time series analysis and fuzzy neural network model. SPE hydrocarbon economics and evaluation symposium, Dallas, Texas, 5–8 April 2003. SPE publication # 82014
Jablonowski and MacAskie (2007) The value of oil and gas price forecasts, hydrocarbon economics and evaluation symposium, Dallas, Texas, U.S.A, 1–3 April 2007. SPE, Publication # 107570
Ogwo (2007) Equitable gas pricing model, Nigeria annual international conference and exhibition, Abuja, Nigeria, 6–8 August 2007. SPE Publication # 11897
Briemann L, Friedman J H (1985) Estimating Optimal Transform for multiple regression and correlation. J Amer Stat Asso 79:321–328
Wang D (2004) Estimating optimal transformations for multiple regression using the ACE algorithm. J Data Sci 2(2004):329–346
Xue G (1997) Optimal transformations for multiple regression: application to permeability estimation from well logs. SPE Form Eval 12(2):85–93
Xue G, Datta-Gupta A, Valkó P, Blasingame TA (1997) Optimal transformations for multiple regression, application to permeability estimation from well logs. SPE Form Eval 12(2):85–93
Gujarati (2007) Basic econometrics, 4th edn. The Tata McGraw-Hill Companies Publishing Company Ltd, New Delhi
Ramu Ramanathan (2002) Introductory Econometrics with applications, 5th edn. Thomson South-Western, Cincinnati, Ohio
Quah J and Mishra P (2011) Application of Nonparametric Regression network to model risk parameters for ranking countries to carry out business in water, electronics, education, pharmaceuticals, and infrastructure sectors. Proceedings of the 2011 International Conference on Information & Knowledge engineering, WORLDCOMP’2011, USA. 199–204
U.S. Crude Oil First Purchase Price (Monthly data). http://www.eia.gov/dnav/pet/hist/LeafHandler.ashx?n=PET&s=F000000_3&f=M
U.S. Natural Gas Well Head Price (Monthly data). http://www.eia.gov/dnav/ng/hist/n9190us3M.htm
Gold Average Price (Monthly data). http://www.kitco.com
Mishra P (2012) Forecasting Natural Gas price-Time Series and Nonparametric approach, lecture notes in engineering and computer science: Proceedings of the World Congress on Engineering WCE 2012, 4–6 July, 2012 U.K , London, pp 490–497
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2013 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Mishra, P. (2013). Natural Gas Price Forecasting: A Novel Approach. In: Yang, GC., Ao, Sl., Gelman, L. (eds) IAENG Transactions on Engineering Technologies. Lecture Notes in Electrical Engineering, vol 229. Springer, Dordrecht. https://doi.org/10.1007/978-94-007-6190-2_48
Download citation
DOI: https://doi.org/10.1007/978-94-007-6190-2_48
Published:
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-007-6189-6
Online ISBN: 978-94-007-6190-2
eBook Packages: EngineeringEngineering (R0)