KYOS offers software for the power- and gas markets that applies cointegrationin a simulation framework. The software has a flexible set up, meaning it can simultaneously handle simulations for multiple power and commodity markets. The incorporation of cointegration ensures realistic price scenarios between various commodities, a key component for valuation of spreads (e.g. crack spreads, spark spreads, dark spreads and cross-commodity spreads).
Monte Carlo simulations
Power prices are the result of the movement in underlying fuels and carbon prices. With traditional statistical approaches, these relationships are only taken into account with a correlation matrix. An improvement is applying cointegration in simulations: power prices are co-integrated with the price movement of coal, gas and carbon. With KySim, an advancedMonte Carlo simulation engine, superior price scenarios can be generated leading to improved profits.
For additional information regarding cointegrationin a simulation framework, please direct an e-mail to firstname.lastname@example.org, or fill out the contact form on this website. We will revert as soon as possible. Alternatively, call us during office hours for immediate assistance through phone number +31 (0)23 551 02 21.