How to calculate the next year's January hourly forward prices for an asset given the historical hourly prices? I have an exercise given to me during the recruitment process which asks to calculate the next year's January hourly forward prices for an asset given the historical hourly prices of that asset and next year's January average price (average of all hours in that period). 
The exercise asks to take account of the seasonality (modelling seasonality), hence there is a 9 year hourly price dataset given. 
I have studied statistics and econometrics at school but have forgotten most of the techniques that could be used for price estimation.
Any idea how this exercise can be solved? I can provide a sample dataset on request.
 A: We have studied very similar problems mostly in the retail sector. One needs to recognize that the eventual hourly forecasts need to aggregate/reconcile to the monthly forecast. We have implemented a two-prong approach which uses monthly values to predict hourly values taking into account monthly patterns and hourly effects. These models also incorporate any level shifts or trends that may be found to be statistically significant. Additionally any auto-regressive structure is also incorporated ( previous prices). Care is also taken to identify anomalous data and adjusting for these effects to ensure a robust solution. Known events such as Holidays and other possible causes are also included/tested in a very sophisticated manner. The software package I have helped develop called AUTOBOX implements this solution. I would suggest that you review it ( there is a free 30 day trial ) and if you like the results either acquire it or rewrite it in any language/system that you wish.
Finally one needs to validate that the final model has an error process that has constant variance and that the model's parameters are invariant over time. 
In closing the recruiter is simply trying to find that employee that can solve a problem that they can't currently solve OR is as creative/ingenious as your are to be able to reach out to subject matter experts and acquire/find an answer. If I were them I would definitely hire you !
