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Showing 4 results for Natural Gas

Narges Salehnia, Mohamad Ali Falahi, Ahmad Seifi, Mohammad Hossein Mahdavi Adeli,
Volume 4, Issue 14 (12-2013)
Abstract

Developing models for accurate natural gas spot price forecasting is critical because these forecasts are useful in determining a range of regulatory decisions covering both supply and demand of natural gas or for market participants. A price forecasting modeler needs to use trial and error to build mathematical models (such as ANN) for different input combinations. This is very time consuming since the modeler needs to calibrate and test different model structures with all the likely input combinations. In addition, there is no guidance about how many data points should be used in the calibration and what accuracy the best model is able to achieve. In this study, the Gamma Test has been used for the first time as a mathematically nonparametric nonlinear smooth modeling tool to choose the best input combination before calibrating and testing models. Then, several nonlinear models have been developed efficiently with the aid of the Gamma test, including regression models Local Linear Regression (LLR), Dynamic Local Linear Regression (DLLR) and Artificial Neural Networks (ANN) models. We used daily, weekly and monthly spot prices in Henry Hub from Jan 7, 1997 to Mar 20, 2012 for modeling and forecasting. Comparing the results of regression models show that DLLR model yields higher correlation coefficient and lower MSError than LLR and will make steadily better predictions. The calibrated ANN models specify the shorter the period of forecasting, the more accurate results will be. Therefore, the forecasting model of daily spot prices with ANN can interpret a fine view. Moreover, the ANN models have superior performance compared with LLR and DLLR. Although ANN models present a close up view and a high accuracy of natural gas spot price trend forecasting in different timescales, its ability in forecasting price shocks of the market is not notable.
Narges Salehnia, Mohammad Ali Fallahi, Ahmad Seifi, Mohammad Hossein Mahdavi Adeli,
Volume 6, Issue 20 (7-2015)
Abstract

This paper aims at estimating Geometric Brownian Motion (GBM) Model, based on two central parameters in this model (volatility and drift), and forecasting Henry Hub natural gas daily spot prices (07/01/1997-20/03/2012). Researches reveal that two mentioned parameters estimation can be satisfied with different approaches and in various time scales. Therefore, two approaches of backward looking and forward looking have been used in different time scales and sub-periods. Results show that the volatility and drift values are highly dependent on the time scale and backward results are lower than the forward ones. Moreover, along with increasing the number of random runs of the model although the fluctuating range decreases, the predicted line slope is very close to the actual line. Ultimately, the performance evaluation criteria yields that forward method, clearly in 2009, has the best performance. The sub-periods of 2001-2004 in backward and forward methods have the next best performances, respectively. These sub-periods can be used as a basis for calculating the central parameters of the model. In addition, the results suggest that relying on data used in the most recent period is not sufficiently accurate. Also, it is observed that sub-periods or time scales with higher volatility show better performance evaluation criteria, therefore they can be applied in price forecasting with GBM model.


Seyed Kamal Sadeghi, Seyed Mehdi Mousavian,
Volume 6, Issue 20 (7-2015)
Abstract

As one of the important energy forms, natural gas consumption has an upward trend in recent years. Therefore management and planning for provision of it requires prediction of the future consumption. But many of prediction procedures are inherently stochastic therefore it is important to have better knowledge about the robustness of prediction procedures. This paper compares robustness of two prediction procedures Artificial Neural Networks as a nonlinear and ARIMA as a linear model. using resampling method to predict the monthly consumption of natural gas in the household sector. Data spans from 2001-4 to 2012-3, to train the networks, we used genetic algorithms and Particle Swarming Optimization then results were compared using 10-fold method. According to the results, the particle swarm optimization (PSO) outperforms the genetic algorithm. Then we used data from 2001-4 to 2010-3, with resampling by 2000 to predict the  natural gas consumption for the 2001 -4 to 2012-3 and to form critical values. Results show that prediction by a mixed method using ANN and PSO is more robust than ARIMA method.


Musa Khoshkalam Khosroshahi,
Volume 9, Issue 34 (12-2018)
Abstract

Considering that the improvement of energy efficiency and the resulting rebound effect in the literature of energy economics is very important, hence the present paper uses the ARDL approach to estimate the direct rebound effect of the natural gas consumption in the residential sector in Iran. For this purpose, data from the period of 1986-2016 and the methodology based on the estimation of natural gas demand elasticity according to decomposed prices have been used. The results show that, firstly, the direct rebound effect of the natural gas consumption in the residential sector exists and, as a result, energy savings due to improved energy efficiency will be less than expected. Secondly, the direct rebound effect of natural gas demand in the short run is 69% and in the long run is 78%. Also, the findings indicate that there is no backfire effect of residential consumption of natural gas. Therefore, it is recommended to apply policies to improve the efficiency of natural gas consumption in Iran's domestic sector.


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