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by Stale
December 12th, 2014, 9:15 am
Forum: Numerical Methods Forum
Topic: Model short term electricity price
Replies: 3
Views: 4438

Model short term electricity price

For short term building a stack is probably the best way forward, time-consuming and data intensive as it may be.
by Stale
February 26th, 2014, 5:58 pm
Forum: General Forum
Topic: Freight indices
Replies: 17
Views: 190443

Freight indices

Cool, news of innovation from my home-town!
by Stale
January 9th, 2014, 8:02 am
Forum: Technical Forum
Topic: Natural Gas and Power
Replies: 1
Views: 5673

Natural Gas and Power

Yes?
by Stale
November 18th, 2013, 10:17 am
Forum: Student Forum
Topic: OU Process Calibration
Replies: 19
Views: 23204

OU Process Calibration

<t>Intuitively: Looking at the filtration generated by this process, the information at time t does not contain any uncertainty if you use W_(t-1), so the state is perfectly well know. It should be W_t as you say Eduard.This comes from the defininition of the stochastic intergral, if you like to loo...
by Stale
October 22nd, 2013, 10:35 am
Forum: Technical Forum
Topic: Commodity Gas Storage
Replies: 7
Views: 6591

Commodity Gas Storage

<t>Yep, sounds reasonable. Winter/summer spreads for large repositories and base/peak for small ones. Any thoughts on the flexibility-premium as a function of volatility? Increased intermittent production drives price volatility, and thus make long-term flex-premiums cheaper compared to short-term, ...
by Stale
October 21st, 2013, 11:07 am
Forum: Technical Forum
Topic: Commodity Gas Storage
Replies: 7
Views: 6591

Commodity Gas Storage

So what's the value for this kind of flexibility?
by Stale
September 7th, 2013, 12:18 pm
Forum: Careers Forum
Topic: Machine learning quants?
Replies: 9
Views: 10210

Machine learning quants?

Hi and welcome to the forum. Care to share some words on what you were doing in your thesis?? Stale
by Stale
August 23rd, 2013, 9:44 am
Forum: Technical Forum
Topic: Computational Topology
Replies: 8
Views: 7962

Computational Topology

I follow a couple of (general) machine learning blogs, and haven't seen anyone discuss applications. Any tips?
by Stale
August 20th, 2013, 10:03 pm
Forum: Trading Forum
Topic: Volatility Analysis of Historical Data
Replies: 6
Views: 7598

Volatility Analysis of Historical Data

Hey,Which energy product are you looking at?? S
by Stale
August 13th, 2013, 6:20 pm
Forum: Programming and Software Forum
Topic: Ubuntu on on Windows network
Replies: 3
Views: 6824

Ubuntu on on Windows network

Hi Hansi,Thanks for your reply. I'll try that.My hunch was proxy-issues and that I should try to configure this. Looking at my Win7 desktop there seem to be no proxy set. I'll have to look around for the details I guess..Thanks again.S
by Stale
August 13th, 2013, 8:54 am
Forum: Programming and Software Forum
Topic: Ubuntu on on Windows network
Replies: 3
Views: 6824

Ubuntu on on Windows network

Hey,Trying to get my Ubuntu-box to work on the office network, but have some issues with this. Installed Ubuntu etc. no problem, but when i want to use the package manager it fails to connect. Pinging a random html-server works though.Any ideas?Thanks,S
by Stale
July 11th, 2013, 9:01 am
Forum: General Forum
Topic: VaR for a set of commodity futures?
Replies: 6
Views: 8056

VaR for a set of commodity futures?

<t>Hi,Some markets would have a seasonality in the volatility, e.g. the power market, but this should be linked to the traded products, no? The Samuelson effect explains why the volatility is declining in time to expiry, but there is more structure in many markets. Extracting the seasonality might b...
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