Marcel Kremer

Academic Staff

Marcel Kremer, M.Sc.

Room:
R11 T07 D31
Telephone:
+49 201 18-32819
Fax:
+49 201 18-34974
Email:
Consultation Hour:
Nach Vereinbarung (by arrangement)
Homepage:
Google Scholar

Curriculum Vitae:

Professional experience

  • 12/2015–present: PhD Student in Mathematical Finance, University of Duisburg-Essen, Essen, Chair for Energy Trading and Finance, Prof. Dr. R. Kiesel
  • 08–10/2014: Quantitative Risk Management Intern, Deutsche Bank AG – DB Risk Center GmbH, Berlin, Risk Analytics & Living Wills, Portfolio Models
  • 02–03/2013: Data Science Intern,Vodafone GmbH, Düsseldorf, Enterprise Marketing, Innovation, Industry and Internet

Visiting positions

  • 10/2017: Boston University, Boston, USA, Center for Polymer Studies, Prof. Dr. H. E. Stanley
  • 08–09/2017: Norwegian University of Science and Technology, Trondheim, Norway, NTNU Business School, Prof. Dr. F. Paraschiv
  • 02–05/2015: Boston University, Boston, USA, Center for Polymer Studies, Prof. Dr. H. E. Stanley

Education

  • 2013–2015: MSc Physics, University of Duisburg-Essen, Duisburg, with distinction
  • 2010–2013: BSc Physics, University of Duisburg-Essen, Duisburg

Honours and Awards:

  • Scholarship for an International Exchange, University of Duisburg-Essen, 2019
  • Scholarship for an International Exchange, University of Duisburg-Essen, 2017
  • Best Master's Degree in Physics Award, University of Duisburg-Essen, 2016

Fields of Research:

  • Econometric Modeling of Intraday Electricity Trading
  • Volatility and Liquidity on High-Frequency Electricity Futures Markets

Publications:

Filter:
  • Kremer, M.; Kiesel, R.; Paraschiv, F.: Intraday electricity pricing of night contracts. In: Energies, Vol 13 (2020) No 17, p. 4501. doi:10.3390/en13174501Full textCitationDetails
  • Kremer, M.; Benth, F. E.; Felten, B.; Kiesel, R.: Volatility and liquidity on high-frequency electricity futures markets: Empirical analysis and stochastic modeling. In: International Journal of Theoretical and Applied Finance, Vol 23 (2020) No 4. doi:10.1142/S0219024920500272Full textCitationDetails
  • Kremer, M.; Kiesel, R.; Paraschiv, F.: An econometric model for intraday electricity trading. In: Philosophical Transactions of the Royal Society A, Forthcoming (2020). Full textCitationDetails
  • Kremer, M.: thrreg: Threshold regression model, R Package, 2020. Full textCitationDetails
  • Kremer, M.: kcopula: The bivariate K-copula - R Package. In: CRAN (2020). Full textCitationDetails
  • Glas, S.; Kiesel, R.; Kolkmann, S.; Kremer, M.; Graf von Luckner, N.; Ostmeier, L.; Urban, K.; Weber, C.: Intraday renewable electricity trading: Advanced modeling and numerical optimal control. In: Journal of Mathematics in Industry, Vol 10 (2020) No 3, p. 1-17. doi:10.1186/s13362-020-0071-xFull textCitationDetails
  • Glas, S.; Kiesel, R.; Kolkmann, S.; Kremer, M.; Graf von Luckner, N.; Ostmeier, L.; Urban, K.; Weber, C.: Intraday renewable electricity trading: Advanced modeling and optimal control. In: Faragó, I.; Izsák, F.; Simon, P. (Ed.): Progress in Industrial Mathematics at ECMI 2018. Mathematics in Industry, vol 30. Springer, Cham, 2019, p. 469-475. doi:10.1007/978-3-030-27550-1_59Full textCitationDetails
  • Kremer, M.; Becker, A. P.; Vodenska, I.; Stanley, H. E.; Schäfer, R.: Economic and political effects on currency clustering dynamics. In: Quantitative Finance, Vol 19 (2019) No 5, p. 705-716. doi:10.1080/14697688.2018.1532101Full textCitationDetails
  • Wollschläger, M.; Schäfer, R.: Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns. In: Journal of Risk, Vol 19 (2016) No 1, p. 1-23. doi:10.21314/JOR.2016.342Full textCitationDetails
  • Chetalova, D.; Wollschläger, M.; Schäfer, R.: Dependence structure of market states. In: Journal of Statistical Mechanics: Theory and Experiment (2015) No P08012, p. 1-19. doi:10.1088/1742-5468/2015/08/P08012Full textCitationDetails

Tutored Theses:

  • Operational risk measurement (Bachelor Thesis Business Administration)
  • High-frequency volatility estimation (Bachelor Thesis Business Administration)
  • Systemic risk measurement (Bachelor Thesis Business Administration)
  • Model risk measurement (Bachelor Thesis Business Administration)
  • The relationship between volatility and liquidity on financial markets (Bachelor Thesis Business Administration)
  • Portfolio optimization with cryptocurrencies (Master Thesis Business Administration)
  • Detecting and predicting speculative bubbles on cryptocurrency markets (Master Thesis Business Administration)
  • Empirical analysis of volatility and liquidity on oil and gas futures markets based on high-frequency prices (Master Thesis Business Administration)
  • Determining price drivers on cryptocurrency markets (Master Thesis Business Administration)
  • Are cryptocurrencies the new gold? An empirical analysis of cryptocurrencies, commodities, stock indices, and currencies (Master Thesis Business Administration)
  • Modeling intraday electricity trading via machine learning approaches (Master Thesis Business Administration)
  • Liquidity risk measurement (Bachelor Thesis Business Administration)
  • Are cryptocurrencies the new gold? A comparison of cryptocurrencies, commodities, stock indices, and currencies (Bachelor Thesis Business Administration)
  • Impact of renewable forecast updates on intraday electricity prices in Germany (Master Thesis Business Administration)
  • Price drivers on cryptocurrency markets: A literature review (Bachelor Thesis Business Administration)
  • Identifying speculative bubbles on cryptocurrency markets: A literature review (Bachelor Thesis Business Administration)

Academic Duties:

  • Member of the Selection Committee, MSc Business Administration – Energy and Finance
  • Academic Advisor, MSc Business Administration – Energy and Finance