Dr. Marcel Kremer

Academic Staff

Dr. Marcel Kremer

Room:
R11 T07 D31
Phone:
+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: Postdoctoral Researcher & 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

  • 2021: PhD Mathematical Finance, University of Duisburg-Essen, Essen
  • 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:

Tutored Theses:

  • Cryptocurrencies in classical investment portfolios: Hedge, diversifier or safe haven? (Bachelor 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)
  • 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