The purpose of the chapter is to gain a better understanding of energy market movements and dynamics by examining two competing theories: deterministic chaos theory and stochastic paradigm.We advocate that feature of bothworldsmay coexist in the same phenomenon. In particular, we reassess the chaotic paradigm, by considering the advances that have been made in the design of estimation tools. We illustrate all the methodologies exploited in the energy finance literature and the related results.
Mastroeni, L., Vellucci, P. (2020). Chaos versus stochastic paradigm in energy markets. In Handbook of Energy Finance: Theories, Practices and Simulations (pp. 765-786). World Scientific Publishing Co. [10.1142/9789813278387_0030].
Chaos versus stochastic paradigm in energy markets
Mastroeni L.
;Vellucci P.
2020-01-01
Abstract
The purpose of the chapter is to gain a better understanding of energy market movements and dynamics by examining two competing theories: deterministic chaos theory and stochastic paradigm.We advocate that feature of bothworldsmay coexist in the same phenomenon. In particular, we reassess the chaotic paradigm, by considering the advances that have been made in the design of estimation tools. We illustrate all the methodologies exploited in the energy finance literature and the related results.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.