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.
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
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