Forecasting daily month-ahead TTF gas prices using state of the art data preprocessing and machine learning techniques
Tom Vertregt

Supervisor TU Delft: Vandana Dwarka
Supervisor Northpool : Igor Borovykh

start of the project: February 2023

In May 2023 the Interim Thesis has appeared and a presentation has been given.

The Master project has been finished in August 2023 by the completion of the Masters Thesis and a final presentation has been given.

For working address etc. we refer to our alumnipage.

Summary of the master project:
Although energy commodity price forecasting has been around for quite some time, up until recently, especially in Europe, it mostly concerned oil prices. This has to do with the fact that, for a long time, Europe relied heavily on gas supplied by large pipelines from countries such as Russia, Norway and Holland (Hamie et al. (2020)). The prices of these supplies were often set in contracts with long durations, which were linked to the oil price, causing little interest in the forecasting of gas prices. Only since the 2000s gas hubs1 started to emerge in Europe, which opened up the European gas markets to the import of Liquefied Natural Gas (LNG) from all over the world. By 2013, most of the long term pipeline contracts where shifted to hub indexation. The introduction of exchange traded LNG in Europe caused gas prices to decouple from the oil price, subsequently meriting research into forecasting the gas price independently from the oil price.

Many hubs in continental Europe exist. The first gas hub was built in 1998 in Zeebrugge, Belgium, connecting mainland Europe to the National Balancing Point (NBP), the main gas hub in the UK. Most European gas hubs are virtual hubs (Shi (2016)), as they offer more flexible trade arrangements and are more open to participants, in particular financial players. Every European country has their own main gas hub. To name a few: Title Transfer Facility (TTF, NL); Trading Region France (TRF, FR); Trading Hub Europe (THE, DE); Punto di Scambio Virtuale (PSV, ITA). Some of these trading hubs have opened very recently, such as TRF (2018) and THE (2021). This research will concern itself with the TTF gas price traded in Rotterdam, the Netherlands. The TTF is consistently ranked as the best trading hub in continental Europe, according to the European Federation of Energy Traders (EFET) 2. TTF has the most market participants, the widest range of products, with the highest volumes in every category, and is now widely regarded as a global price reference, Patrick Heather (2020).

Contact information: Kees Vuik

Back to the home page or the Master students page of Kees Vuik