𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The pricing of electricity futures: Evidence from the European energy exchange

✍ Scribed by Sascha Wilkens; Jens Wimschulte

Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
170 KB
Volume
27
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study investigates the pricing of electricity futures at the European Energy Exchange (EEX) over the period 2002 through 2004. To calculate theoretical contract values, the reduced‐form models of J. J. Lucia and E. S. Schwartz (2002) are used, and a thorough empirical analysis by means of an out‐of‐sample test is conducted for both one‐ and two‐factor models, incorporating a constant non‐zero price of risk. Although the models are proven to capture all basic spot market characteristics and provide an accurate in‐the‐sample fit to observed futures prices, the forecasting performance is subject to biases. For instance, it was found that the relative mispricing depends on both the spot price level and the remaining time‐to‐maturity of the futures contracts. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:387–410, 2007

📜 SIMILAR VOLUMES

Slippage in futures markets: Evidence fr
Slippage in futures markets: Evidence from the Sydney Futures Exchange
✍ Alex Frino; Teddy Oetomo 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 128 KB

## Abstract This article examines the market‐impact cost of trades executed in futures markets, which is commonly referred to as __slippage__. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trad

Fractional versus decimal pricing: Evide
Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
✍ Owain Ap Gwilym; Ian Mcmanus; Stephen Thomas 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 130 KB

This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market, and thus offers a unique insight to tick size reduction and decimalization in a derivatives market setting. The reduced tick size leads to an increase in price clustering. The bid-ask spre

The stock closing calland futures price
The stock closing calland futures price behavior: Evidence from the Taiwan futures market
✍ Hsiu-Chuan Lee; Cheng-Yi Chien; Yen-Sheng Huang 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 292 KB

## Abstract This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10‐fold, from an average of 30 seconds to

The exchange rate crisis of September 19
The exchange rate crisis of September 1992 and the pricing of Italian financial futures
✍ Cifarelli, Giulio 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 262 KB

The futures contracts on long term bonds issued by the Italian Treasury and the futures contracts on Eurolira deposits traded in the LIFFE have reacted in a specular way to the exchange rate crisis of September 1992. The pricing of the Italian Government Bonds (BTP) futures becomes more volatile and

Strategic order splitting, order choice,
Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange
✍ Robin K. Chou; Yun-Yi Wang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 142 KB

## Abstract We investigate the strategic order‐splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared with domestic institutional trader

The time series behaviour of asset price
The time series behaviour of asset prices: evidence from UK futures markets
✍ Patricia Fraser; Andrew J. McKaig 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 205 KB 👁 2 views

Using daily settlement prices for a range of real and ®nancial futures over the period 6 April 1981±31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the ef®ciency of the markets within which the prices of the assets are de