A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling

A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling

This work studies the term structure dynamics in the natural gas futures market, focusing on the Dutch Title Transfer Facility (TTF) daily futures prices. At first, using the whole dataset, we compared the in-sample fitting performance of three models: the four-factor dynamic Nelson–Siegel–Svensson...

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Bibliographic Details
Main Authors: Oleksandr Castello, Marina Resta
Format: Article
Language:English
Published: MDPI AG 2023-06-01
Series:Energies
Subjects:
natural gas
futures prices term structure
Nelson–Siegel–Svensson model
De Rezende–Ferreira model
B-spline
artificial neural networks (ANN)
Online Access:https://www.mdpi.com/1996-1073/16/12/4746

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https://www.mdpi.com/1996-1073/16/12/4746

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