Welcome to Erasmus Energy!

This website serves the energy market community in the exchange of knowledge.

This non-profit website has been developed in order to provide an easier access to research and articles available in this area, but which is often hard to find.

Our approach:
o    Share access to energy market articles
o    Post and answer questions

The target user group and audience: (quantitative) analysts, traders, risk managers, researchers, business developers, financial managers, consultants and policy makers.

Erasmus Energy is willing to publish all kinds of articles on energy markets. Main topics are risk-management, trading, valuation and market development. Articles should be relevant and clear.

Erasmus Energy is dependent on active involvement of authors, but if you think Erasmus Energy Library is breaching your copyright or if you have any other comments on the website, please let us know.

Erasmus Energy is provided to you by Kyos Energy Consulting.

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Recent Articles

Keywords: power prices, cointegration, regime switching, spot prices
Published in: The Journal of Energy Markets
Publication year: 2009, Volume 2, Number 3
Co-author 1: Stefan Schneider, EON Energy Trading

In this paper we show how
cointegration can be applied to capture the joint dynamics of multiple energy spot prices. As an exemplary system we study the gas spot markets TTF, Zeebrugge and NBP, and additionally the power spot market APX, since these markets are strongly connected in terms of physical transportation and generation of power from gas. We develop a cointegrating multi-market model framework which is able to plausibly connect different single market spot price models. This is achieved by considering the mean-reverting spot-forward price spreads instead of spot prices only. Our analysis shows that the gas prices are strongly cointegrated, with a specific connection pattern of the markets, whereas cointegration of gas and power prices is on long-term forward price levels only.  

 

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