Publikationen:

• Kramer, A.; Kiesel, R.: Exogenous factors for order arrivals on the intraday electricity market. In: Energy Economics, Jg. 97 (2021) Nr. 105186, S. 1-14. doi:10.1016/j.eneco.2021.105186VolltextBIB DownloadKurzfassungDetails

  We examine if the trading activity on the German intraday electricity market is linked to fundamental as well as market-induced factors. Thus, we propose a novel point process model in which the intensity process of order arrivals consists of a self-exciting term and additional exogenous factors, such as the production of renewable en- ergy or the activated volume on the balancing market. The model parameters are estimated by a maximum like- lihood approach that explicitly accounts for such factor processes. By comparing the proposed model to several nested models, we investigate whether adding the exogenous factors significantly increases the accuracy of the model fit. We find that intensity processes that only take into account exogenous factors are improved if we add a self-exciting term. On the other hand, to capture the market dynamics correctly, pure self-exciting models need to be extended such that they additionally account for exogenous impacts.

Lehrveranstaltungen:

Sommer 2023: Structuring and Valuation

Winter 2022/2023: Financial Risk Management

Sommer 2022: Structuring and Valuation, Selected Topics in Risk Management

Winter 2021/22: Financial Risk Management

Sommer 2021: Einführung in Optionen, Futures und derivative Finanzinstrumente

Winter 2020/21: Financial Risk Management, Trading Room Seminar, Selected Topics in Risk Management

Sommer 2020: Structuring and Valuation

Winter 2019/20: Financial Risk Management

Sommer 2019: Structuring and Valuation

Winter 2018/19: Financial Risk Management