Workshops
EFC16
Energy Finance Christmas Workshop 2016
The Energy Finance Christmas Workshop (EFC16) is a cozy, informal workshop devoted to the latest developments in Energy Finance. Workshop topics include, but are not limited to electricity spot price and load forecasting and modeling, day-ahead and intra-day trading on electricity markets, emission trading, valuation of commodity derivatives and the impact of renewable energy on electricity markets.
This year’s event is the 6th of its kind in the highly successful series of Energy Finance Christmas workshops. Information on previous events can be found here.
- Hosted by: Rüdiger Kiesel
- Organized by: House of Energy & Finance, University of Duisburg-Essen, Campus Essen, Germany
- Venue: University of Duisburg-Essen, Campus Essen, Room T03 R04 C07
Workshop Timetable:
Wednesday, 14 December 2016
| Beginning | End | Lecturer | Topic | Abstract |
|---|---|---|---|---|
| 12:00 | 13:00 | Welcome & Registration | ||
| 13:00 | 13:45 | John Moriarty | Bayesian calibration and number of jump components in electricity spot price models | Abstract |
| 13:45 | 14:30 | Maciej Kostrzewski | Jumps detection and prediction of electricity spot prices under the Bayesian SVLEDEJX model | Abstract |
| 14:30 | 15:00 | Stephan Prell | A sequential design for gas storage optimization using kriging | Abstract |
| 15:00 | 15:30 | Coffee Break | ||
| 15:30 | 16:15 | René Aid | A Principal-Agent model for pricing electricity consumption volatility | Abstract |
| 16:15 | 17:00 | Ronald Huisman | tba | Abstract |
| 17:00 | 17:30 | Audun Sætherø | On the Construction of the Hourly Price Forward Curve for Electricity Prices | Abstract |
| Afterwards visit to the Christmas market in the city centre of Essen | ||||
Thursday, 15 December 2016
| Beginning | End | Lecturer | Topic | Abstract | |
|---|---|---|---|---|---|
| 09:30 | 10:15 | Florian Ziel | Probabilistic Mid- and Long-Term Electricity Price Forecasting | Abstract | |
| 10:15 | 11:00 | Florentina Paraschiv | A space-time random field model for electricity forward prices | Abstract | |
| 11:00 | 11:30 | Coffe Break | |||
| 11:30 | 12:15 | Sławomir Śmiech | Volatility spillover between food, energy and equity markets. Evidence from Diebold and Yilmaz approach. | Abstract | |
| 12:15 | 13:00 | Stefan Trück | Price and Volatility Spillovers in Australian Electricity Markets | Abstract | |
| 13:00 | 14:00 | Lunch Break | |||
| 14:00 | 14:45 | Alvaro Cartea | Speculative Trading of Electricity Contracts in Interconnected Locations | Abstract | |
| 14:45 | 15:30 | Derck Koolen | The electricity forward price: evidence from experimental markets | Abstract | |
| 15:30 | 16:00 | Coffe Break | |||
| 16:00 | 16:30 | Bartosz Uniejewski | Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting | Abstract | |
| 16:30 | 17:00 | Nikolaus Graf von Luckner | Optimal Market Making in the German Intraday Power Market | Abstract | |
| 17:00 | 17:30 | Samarth Kumar | Cross Border Commercial Flow (CBCF) of Electricity for Germany: What does market data tell us? | Abstract | |
| 19:00 | Dinner | ||||
Friday, 16 December 2016
| Beginning | End | Lecturer | Topic | Abstract | ||
|---|---|---|---|---|---|---|
| 09:30 | 10:15 | Andrea Roncoroni | Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. | Abstract | ||
| 10:15 | 11:00 | Tiziano Vargiolu | Additive models for forward curves in multicommodity energy markets | Abstract | ||
| 11:00 | 11:30 | Coffee Break | ||||
| 11:30 | 12:15 | Clemence Alasseur | An adverse selection approach to power pricing | Abstract | ||
| 12:15 | 13:00 | Christoph Weber | Combined Heat And Power Production - Valuing Flexible Operation In An Uncertain Environment | Abstract | ||
| 13:00 | End of the Workshop | |||||
Please note that the talks will take place in room T03 R04 C07
For the participants of the workshop we reserved room contingents at the following hotels:
and
Participation is by invitation only.
Participants:
| Álvaro Cartea | University of Oxford, Oxford, United Kingdom | |
| Andrea Roncoroni | ESSEC Business School, Cergy-Pontoise, France | |
| Audun Sætherø |
| |
| Bartosz Uniejewski | Wroclaw University of Science and Technology, Wroclaw, Poland | |
| Christoph Weber | Universität Duisburg-Essen, Essen, Germany | |
| Clemence Alasseur | EDF, Paris, France | |
| Derck Koolen | ERASMUS University Rotterdam, Rotterdam, Netherlands | |
| Dominik Möst | Technische Universität Dresden, Dresden, Germany | |
| Florentina Paraschiv | Universität St. Gallen, St.Gallen, Switzerland | |
| Florian Ziel | Europa Universität Viadrina Frankfurt, Frankfurt, Germany | |
| Gero Schindlmayr | RWE Supply and Trading, Essen, Germany | |
| John Moriarty | Queen Mary University of London, London, United Kingdom | |
| Julian Holler | PricewaterhouseCoopers AG Wirtschaftsprüfungsgesellschaft, Frankfurt, Germany | |
| Maciej Kostrzewski | Cracow University of Economics, Cracow, Poland | |
| Manuela Maria Schöner | Frankfurt School of Finance & Management gemeinnützige GmbH, Frankfurt, Germany | |
| Markus Burger | EnBW Energie Baden-Württemberg AG, Karlsruhe, Germany | |
| Monika Papiez | Cracow University of Economics, Cracow, Poland | |
| Nikolaus Graf von Luckner |
| |
| Nina Lange | University of Sussex, Brighton, United Kingdom | |
| Olivier Féron | EDF France, Paris, France | |
| Paulina Rowinska | Imperial College London, London, United Kingdom | |
| Rafal Weron | Wroclaw University of Science and Technology, Wroclaw, Poland | |
| Reik Börger | RWE AG, Essen, Germany | |
| Rene Aid | Paris-Dauphine University, Paris, France | |
| Richard Biegler-König | STEAG GmbH, Essen, Germany | |
| Ronald Huisman | Erasmus University Rotterdam, Rotterdam, Netherlands | |
| Samarth Kumar | TU Dresden, Dresden, Germany | |
| Sławomir Śmiech | Cracow University of Economics, Cracow, Poland | |
| Stefan Trueck | Macquarie University, Sydney, Australia | |
| Stephan Prell |
| |
| Stephane Goutte | Université Paris, Paris, France | |
| Tiziano Vargiolu | Universita' di Padova, Padua, Italy |