Gas market data study
to support litigation proceedings
Context & Objectives
Our client is a major player in wholesale energy trading, facing formal litigation proceedings. The objective of the project was to deliver an expert report on market behaviour by analysing order book time-series data in order to shed light on market dynamics.
Outcome
Delivery of a formal independent expert report.Monitoring tools for use by control/compliance functions.
Our approach
We brought together a team of energy market experts and time-series specialists to:
- Process and clean all trade, bid and offer data
- Analyse lagged correlations and perform causality tests (including lead-lag ratio calculations)
- Build a tool to analyse market participants' behaviour for future monitoring purposes