英文标题：
《Coping with area price risk in electricity markets: Forecasting
Contracts for Difference in the Nordic power market》
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作者：
Egil Ferkingstad and Anders L{\\o}land
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最新提交年份：
2014
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英文摘要：
Contracts for Difference (CfDs) are forwards on the spread between an area price and the system price. Together with the system price forwards, these products are used to hedge the area price risk in the Nordic electricity market. The CfDs are typically available for the next two months, three quarters and three years. This is fine, except that CfDs are not traded at NASDAQ OMX Commodities for every Nord Pool Spot price area. We therefore ask the hypothetical question: What would the CfD market price have been, say in the price area NO2, if it had been traded? We build regression models for each observable price area, and use Bayesian elicitation techniques to obtain prior information on how similar the different price areas are to forecast the price in an area where CfDs are not traded.
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中文摘要：
差价合约（CFD）是区域价格和系统价格之间差价的远期合约。这些产品与系统价格远期一起，用于对冲北欧电力市场的区域价格风险。CFD通常适用于未来两个月、三个季度和三年。这是可以接受的，除了CFD不是在NASDAQ OMX大宗商品交易所针对每个Nord Pool现货价格区域进行交易。因此，我们提出了一个假设性的问题：如果CfD进行了交易，那么CfD的市场价格会是多少，比如在2号价格区？我们为每个可观察的价格区域建立回归模型，并使用贝叶斯启发技术获取关于不同价格区域的相似程度的先验信息，以预测CFD未交易区域的价格。
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分类信息：

一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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