BL_data_generation

This github site contains tools to analyze the data for the paper entitled "Forward Premia in Electricity Markets: a replication study* by Silvester van Koten.

The site contains

1. the data using grid search
2. the data using sampling
3. the stata do files to create all the stata (dta) files
4. the stata do files to analyze all the stata (dta) files

The site also contains the simulation programs, one in python and one in mathematica to generate the data. There is also a program written in Matlab that attempts to reproduce Figure 3 in Bessembinder & Lemmon (2002).

Data

To use the data, first unzip (or unrar) the data files in the folders "data_in_stata_format", "data_in_raw_format_generated_in_python", "data_in_raw_format_generated_in_mathematica". Use an unrar tool for this. Choose "unrar here" (or "unzip here")

Open the folder "Stata_analysis" > "Stata_analysis_home folder" > "stata_files"

• "2. Analyse data_main.do" can be used to replicate all the figures in the paper. The data have been generated in Python. Run the full dofile. Before you run the dofile, make sure to unrar all the files in the folder "Stata_analysis_home folder\data_in_stata_format" with a rar-utility.

• "3. Analyse data_robust.do" replicates the figures using the data generated by brute sampling in Mathematica. The results should be identical to those obtained with the dofile "2. Analyse data_main.do"

In the folder is also a do-file to recreate the stata dta files from the raw csv data files:

• "1.Make data sets.do" can be used to generate the stata files from the raw data. Open the file, and set the stata working directory to "Stata_analysis_home folder". Then run the full code. Then you will create the stata dta files "exp_data_python.dta" and "exp_data_mathematica.dta" in the folder "Stata_analysis_home folder\data_in_stata_format"

Simulation programs

Data_generation_by_grid_search_py36

The main simulation program is "Data_generation_by_grid_search_py36". To run the program, make sure the dependencies are installed. In particular, python 3.6, Numpy, Scipy, and Pandas.

Open Data_generation_by_grid_search_py36 > upper_loop.py and then run the program. Using pycharm, this can be done by opening the file upper_loop.py and pressing ctrl-F10. The raw data are now generated in
Data_generation_by_grid_search_py36>data.

There are thus in total 8 datapackages created. Each data package takes approximately 10~20 minutes to create (on a reasonably strong consumer type computer).

Sampling_ Mathematica

Regarding footnote 12. The simulation The main simulation program is "Data_generation_by_grid_search_py36". To run the program, run Wolfram Mathematica 11. Open all the numbered files. Then run them one by one in the order indicated.

Independent simulations Zelenay_ MATLAB

Regarding footnote 15. Marek Zelenay wrote, independently and unwittingly of my analyses and results, on my request, an alternate simulation in Matlab to reproduce Figure 3 in Bessembinder & Lemmon (2002). His results are identical to mine.