Team

Marcel Kremer

Academic Staff

Marcel Kremer, M.Sc.

Room:
R09 R00 H40
Telephone:
+49 201 18-32819
Fax:
+49 201 18-34974
Email:
Consultation Hour:
Nach Vereinbarung (by appointment)

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: M.Sc. Physics, University of Duisburg-Essen, Duisburg, with distinction
  • 2010–2013: B.Sc. 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:

  • Modeling Volatility and Liquidity on High-Frequency Electricity Futures Markets
  • Econometric Analysis of Continuous Intraday Electricity Trading of 15-Minute Contracts

Publications:

Filter:
  • M. Kremer; R. Kiesel; F. Paraschiv: A fundamental model for continuous intraday electricity trading, Working Paper, 2019. Full text Citation Details
  • S. Glas; R. Kiesel; S. Kolkmann; M. Kremer; N. Graf von Luckner; L. Ostmeier; K. Urban; C. Weber: Intraday renewable electricity trading: Advanced modeling and optimal control. In: I. Faragó; F. Izsák; P. Simon (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_59 Full text Citation Details
  • S. Glas; R. Kiesel; S. Kolkmann; M. Kremer; N. Graf von Luckner; L. Ostmeier; K. Urban; C. Weber: Intraday renewable electricity trading: Advanced modeling and numerical optimal control, Working Paper, 2019. Full text Citation Details
  • M. Kremer; F.E. Benth; B. Felten; R. Kiesel: Volatility and liquidity on high-frequency electricity futures markets: Empirical analysis and stochastic modeling, Working Paper, 2019. Full text Citation Details
  • M. Kremer; A.P. Becker; I. Vodenska; H.E. Stanley; R. Schäfer: Economic and political effects on currency clustering dynamics. In: Quantitative Finance, Vol 19 (2019) No 5, p. 705-716. doi:10.1080/14697688.2018.1532101 Full text Citation Details
  • M. Wollschläger; R. Schäfer: 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.2016.342 Full text Citation Details
  • D. Chetalova; M. Wollschläger; R. Schäfer: 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/P08012 Full text Citation Details

Tutored Theses:

  • Determining price drivers on cryptocurrency markets (Master Thesis Business Administration, in progress)
  • Liquidity risk measurement (Bachelor Thesis Business Administration, in progress)
  • Are cryptocurrencies the new gold? A comparison of cryptocurrencies, commodities, stock indices and currencies (Bachelor Thesis Business Administration, in progress)
  • Impact of renewable forecast updates on intraday electricity prices (Master Thesis Business Administration, in progress)
  • 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)
  • Are cryptocurrencies the new gold? An empirical analysis of cryptocurrencies, commodities, stock indices and currencies (Master Thesis Business Administration)
  • Modeling continuous intraday electricity trading of 15-minute contracts via machine learning approaches (Master Thesis Business Administration)

Academic Duties:

  • Member of the Selection Committee, M.Sc. Business Administration – Energy and Finance
  • Academic Advisor, M.Sc. Business Administration – Energy and Finance