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.



Workshop Timetable:


Wednesday, 14 December 2016

12:0013:00Welcome & Registration
13:0013:45John Moriarty Bayesian calibration and number of jump components in electricity spot price models Abstract
13:4514:30Maciej KostrzewskiJumps detection and prediction of electricity spot prices under the Bayesian SVLEDEJX modelAbstract
14:3015:00Stephan PrellA sequential design for gas storage optimization using krigingAbstract
15:0015:30Coffee Break
15:3016:15René AidA Principal-Agent model for pricing electricity consumption volatilityAbstract
16:1517:00Ronald Huismantba Abstract
17:0017:30Audun SætherøOn the Construction of the Hourly Price Forward Curve for Electricity PricesAbstract
Afterwards visit to the Christmas market in the city centre of Essen

Thursday, 15 December 2016

09:3010:15Florian ZielProbabilistic Mid- and Long-Term Electricity Price ForecastingAbstract
10:1511:00Florentina ParaschivA space-time random field model for electricity forward pricesAbstract
11:0011:30Coffe Break
11:3012:15Sławomir ŚmiechVolatility spillover between food, energy and equity markets. Evidence from Diebold and Yilmaz approach.Abstract
12:1513:00Stefan TrückPrice and Volatility Spillovers in Australian Electricity MarketsAbstract
13:0014:00Lunch Break
14:0014:45Alvaro CarteaSpeculative Trading of Electricity Contracts in Interconnected LocationsAbstract
14:4515:30Derck KoolenThe electricity forward price: evidence from experimental marketsAbstract
15:3016:00Coffe Break
16:0016:30Bartosz UniejewskiAutomated Variable Selection and Shrinkage for Day-Ahead Electricity Price ForecastingAbstract
16:3017:00Nikolaus Graf von LucknerOptimal Market Making in the German Intraday Power Market Abstract
17:0017:30Samarth KumarCross Border Commercial Flow (CBCF) of Electricity for Germany: What does market data tell us?Abstract

Friday, 16 December 2016

09:3010:15Andrea Roncoroni Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market.Abstract
10:1511:00Tiziano Vargiolu Additive models for forward curves in multicommodity energy markets Abstract
11:0011:30Coffee Break
11:3012:15Clemence AlasseurAn adverse selection approach to power pricingAbstract
12:1513:00 Christoph Weber Combined Heat And Power Production - Valuing Flexible Operation In An Uncertain EnvironmentAbstract
13:00End 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:

Welcome Hotel Essen


Hotel Rheinischer Hof

Participation is by invitation only. 


Álvaro Cartea University of Oxford, Oxford, United Kingdom
Andrea RoncoroniESSEC Business School, Cergy-Pontoise, France
Audun Sætherø
Universität Duisburg-Essen, Essen, Germany 
Bartosz UniejewskiWroclaw University of Science and Technology, Wroclaw, Poland
Christoph WeberUniversität Duisburg-Essen, Essen, Germany
Clemence AlasseurEDF, Paris, France
Derck Koolen ERASMUS University Rotterdam, Rotterdam, Netherlands
Dominik MöstTechnische Universität Dresden, Dresden, Germany
Florentina Paraschiv Universität St. Gallen, St.Gallen, Switzerland
Florian Ziel Europa Universität Viadrina Frankfurt, Frankfurt, Germany
Gero SchindlmayrRWE Supply and Trading, Essen, Germany
John Moriarty Queen Mary University of London, London, United Kingdom
Julian HollerPricewaterhouseCoopers AG Wirtschaftsprüfungsgesellschaft, Frankfurt, Germany
Maciej KostrzewskiCracow University of Economics, Cracow, Poland
Manuela Maria SchönerFrankfurt School of Finance & Management gemeinnützige GmbH, Frankfurt, Germany
Markus Burger EnBW Energie Baden-Württemberg AG, Karlsruhe, Germany
Monika PapiezCracow University of Economics, Cracow, Poland
Nikolaus Graf von Luckner
Universität Duisburg-Essen, Essen, Germany 
Nina Lange University of Sussex, Brighton, United Kingdom
Olivier FéronEDF 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 AidParis-Dauphine University, Paris, France
Richard Biegler-König STEAG GmbH, Essen, Germany
Ronald Huisman Erasmus University Rotterdam, Rotterdam, Netherlands
Samarth KumarTU Dresden, Dresden, Germany
Sławomir ŚmiechCracow University of Economics, Cracow, Poland
Stefan Trueck Macquarie University, Sydney, Australia 
Stephan Prell
Universität Duisburg-Essen, Essen, Germany 
Stephane GoutteUniversité Paris, Paris, France
Tiziano VargioluUniversita' di Padova, Padua, Italy