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Level: BSc, MSci, MSc
Title: Time series analysis of spot price market data
Supervisor:

Dr Wolfram Just

Research Area: Dynamical Systems and Statistical Physics
Description:

Predicting and forecasting market evolution is one of the holy grails in economics and financial mathematics. Data analysis tools are used in this context to provide useful information for traders and market participants. Within this project, time series data of the electricity system price of the Nord Pool spot market are used to benchmark data analysis tools.

Of particular interest is to uncover correlations in the time series as for instance those induced by electricity consumption as well as to uncover the relevance of non-stationary features. The analysis will be based on a spot price data set. One aim of the project is the comparison of the actual spot price with simple stochastic models such as geometric Brownian motion. In addition, conditional correlations of the returns will be looked at to deal with periodicities caused by electricity consumption.
Further Reading:
  • H. Erzgraeber, F. Strozzi, J.-M. Zaldivar, H. Touchette, E. Gutierrez, D. K. Arrowsmith, Time series analysis and long range correlations of Nordic spot electricity market data, Physica A 387 (2008) 6567–6574.
Key Modules:

MTH744U/MTH744P Dynamical Systems (helpful)

MTH6934/MTH734U/MTHM012/MTH712P Topics in Probability and Stochastic Processes (helpful)
Other Information:
Current Availability: Yes