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Paper Abstract and Keywords
Presentation 2025-03-14 14:15
A Mean-Reverting Process Model for JEPX Spot Prices Incorporating LNG Prices
Shunsuke Ohtani, Takaaki Ohnishi (Rikkyo Univ.) MSS2024-103 NLP2024-144
Abstract (in Japanese) (See Japanese page) 
(in English) This study examines the hypothesis that spot prices in the Japan Electric Power Exchange (JEPX) are influenced by liquefied natural gas (LNG) prices, and proposes a mean-reverting process model incorporating this characteristic.
First, we analyze their correlation and demonstrate that LNG prices affect JEPX spot prices with a lag of approximately six days. Next, we estimate the parameters of the JEPX spot price model incorporating LNG prices, and evaluate the coefficient of determination, log-likelihood, and model residuals. The coefficient of determination for the deterministic component improved from 0.18 in the conventional model to 0.698, and the variance of the model residuals improved from 0.244 to 0.060. The proposed model considers the mean-reversion of JEPX spot prices and fluctuations in LNG prices, and more accurately captures the fluctuation factors of JEPX spot prices and reflects the price formation mechanism.
Keyword (in Japanese) (See Japanese page) 
(in English) Japan Electric Power Exchange / LNG price / mean-reverting process model / risk management / statistical modeling / / /  
Reference Info. IEICE Tech. Rep., vol. 124, no. 432, NLP2024-144, pp. 184-190, March 2025.
Paper # NLP2024-144 
Date of Issue 2025-03-06 (MSS, NLP) 
ISSN Online edition: ISSN 2432-6380
Copyright
and
reproduction		 All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034)
Download PDF MSS2024-103 NLP2024-144

Conference Information
Committee NLP MSS  
Conference Date 2025-03-13 - 2025-03-14 
Place (in Japanese) (See Japanese page) 
Place (in English) Miyakojima City Central Community Center 
Topics (in Japanese) (See Japanese page) 
Topics (in English) MSS, NLP, etc. 
Paper Information
Registration To NLP 
Conference Code 2025-03-NLP-MSS 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) A Mean-Reverting Process Model for JEPX Spot Prices Incorporating LNG Prices 
Sub Title (in English)  
Keyword(1) Japan Electric Power Exchange  
Keyword(2) LNG price  
Keyword(3) mean-reverting process model  
Keyword(4) risk management  
Keyword(5) statistical modeling  
Keyword(6)  
Keyword(7)  
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1st Author's Name Shunsuke Ohtani  
1st Author's Affiliation Rikkyo University (Rikkyo Univ.)
2nd Author's Name Takaaki Ohnishi  
2nd Author's Affiliation Rikkyo University (Rikkyo Univ.)
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Speaker Author-1 
Date Time 2025-03-14 14:15:00 
Presentation Time 20 minutes 
Registration for NLP 
Paper # MSS2024-103, NLP2024-144 
Volume (vol) vol.124 
Number (no) no.431(MSS), no.432(NLP) 
Page pp.184-190 
#Pages 7 
Date of Issue 2025-03-06 (MSS, NLP) 

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