Context and objectives
Our client, a large energy wholesale player, was facing a formal litigation procedure.
The objective was to provide an expert report on market behaviour, by analysing order book time series data.
Outcome
- Formalisation of an independent expert report.
- Monitoring tools for the controlling and compliance functions.
Our approach
We brought together energy market experts and time series experts to:
- process and clean all transaction, bid and ask data;
- characterise price discovery behaviour;
- analyse lagged correlations and perform causality tests (including lead-lag ratio computations);
- build a tool to analyse market players' behaviour for future monitoring needs.
Our experts
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