Forward Modelling of UK Gas Prices

Mathematical Modelling Workshop presentation joint work with Bijith Komlan, Eoin Whooley (both University College Cork), Lina Zhang (Middlesex University) and Gary O'Keeffe (University of Limerick).

Transcript

1. Modelling UK Gas Forward Prices
2. The Team… Bijith Komlan Eoin Whooley Lina Zhang Gary O’Keeffe Kevin Brosnan
3. Description of the Problem
4. Description of the Problem • Model UK Gas Forward Prices • Expected Movement 1: Shift • Expected Movement 2: Tilt • Expected Movement 3: Bend
5. The Data Reformation
6. Data and Reformation
7. PCA  PCA is used to reduce a large set of corelated variables to a small set of uncorelated variables  Helps to determine the subset of a dataset that explains the maximum variablity of the data  PCA was done on a dataset with 9 variables  Variables that explained more than 80% was selected
9. Non-seasonal model • 1000 realisations
11. Seasonal model
14. Final Slide: Any questions?