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文章基本信息

  • 标题:Predictive Performance and Bias: Evidence from Natural Gas Markets
  • 本地全文:下载
  • 作者:Thomas Kremser ; Margarethe Rammerstorfer
  • 期刊名称:Journal of Management and Sustainability
  • 印刷版ISSN:1925-4725
  • 电子版ISSN:1925-4733
  • 出版年度:2017
  • 卷号:7
  • 期号:2
  • 页码:1
  • DOI:10.5539/jms.v7n2p1
  • 出版社:Canadian Center of Science and Education
  • 摘要:

    This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in the UK and the Henry Hub located in the US. For this, we analyze traders’ expectations and implement a mechanical forecasting model that allows traders to predict future spot prices. Based on this, we compute the deviations between expected and realized spot prices and analyze possible reasons and dependencies with other market variables. Overall, the mechanical predictor performs well, but a small forecast error remains which can not be characterized by the explanatory variables included.

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