Forecasting of Month Ahead prices on virtual trading points of the european gas market

Abstract

Purpose: the forecasting is discussed in the paper of the average monthly prices of Month Ahead forward gas contracts on European virtual trading points. Discussion: month Ahead gas contract price is one of the crucial indicators of the European gas market which determines its agents short- and mid-term strategies. Prices forecasting allows to predict market agents’ actions and therefore can be used during management decision making. Since the contract prices dynamics is affected by a variety of external and internal factors, the task is to analyze this influence and to develop a multi-factor model that takes into account the rapid change in the key characteristics of the market. Results: аn adaptive method is proposed of gas contract prices forecasting based on endogenous and exogenous factors. The advocated method is verified on the example of the TTF trading point and the numerical results confirming its effectiveness are presented.