European Gas Prices Dynamics: EEX Ad-Hoc Study
This paper regards the dynamics of gas spot prices on one of European energy exchanges—EEX. A detailed description of the price dynamics is provided alongside with several multi-factor models for daily gas prices. An original approach to the development of such multi-factor daily price models is proposed. Specifically, daily price models taking into account non-integer power of time variable tend perform relatively well on the horizon of several weeks despite the heteroskedasticity of the daily prices.
The research was partially carried out while this author Ivan P. Yamshchikov was in UAS Zittau, Germany. This research is supported by the European Union in the FP7-PEOPLE-2012-ITN Program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE—Novel Methods in Computational Finance). Short reference for contract: PITN-GA-2012-304617 STRIKE.
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