Chaos Versus Stochastic Paradigm in Energy Markets

Loretta Mastroeni and Pierluigi Vellucci

Chapter 30 in Handbook of Energy Finance:Theories, Practices and Simulations, 2020, pp 765-786 from World Scientific Publishing Co. Pte. Ltd.

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 both worlds may 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.

Keywords: Energy Finance; Financial and Economic Modeling; Volatility; Forecasting; Quantitative Finance; Energy Markets (search for similar items in EconPapers)
JEL-codes: G20 G32 Q40 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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