EFC16

Energy Finance Christmas Workshop 2016

The Energy Finance Christmas Workshop (EFC16) ist ein lockerer, formloser Workshop, der den neusten Entwicklungen im Bereich Energy Finance gewidmet ist. Der Workshop befasst sich thematisch u. a. mit Themen rund um Modelle für Commodity- und Energiemärkte sowie mit der expliziten Modellierung bzw. dem Prognostizieren von Energiepreisprozessen. 

Die diesjährige Veranstaltung ist die sechste ihrer Art in der Reihe der Energy Finance Christmas Workshops. Informationen zu vorangegangenen Veranstaltungen finden Sie  hier.

 

• Gastgeber: Rüdiger Kiesel 
• Veranstalter: House of Energy & Finance, Universität Essen, Germany
• Veranstaltungsort: Universität Duisburg-Essen, Campus Essen, Raum T03 R04 C07

 

 

Workshop Zeitplan:

Mittwoch, 14.12.2016

Beginn	Ende	Referent	Thema	Abstract
12:00	13:00	Empfang & Registrierung
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	Kaffeepause
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
Im Anschluss: Besuch des Weihnachtsmarktes in der Innenstadt

Donnerstag, 15.12.2016

Beginn	Ende	Referent		Thema	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	Kaffeepause
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	Mittagspause
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	Kaffeepause
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		Abendessen

Freitag, 16.12.2016

Beginn	Ende	Referent		Thema	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	Kaffepause
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		Ende des Workshops

Bitte beachten Sie, dass die Vorträge im Raum T03 R04 C07 stattfinden werden!

Die Abstracts stehen in Kürze zum Download bereit.

Die Teilnahme ist nur auf Einladung möglich.

Teilnehmer: 

Álvaro Cartea	University of Oxford, Oxford, United Kingdom
Andrea Roncoroni	ESSEC Business School, Cergy-Pontoise, France
Audun Sætherø	Universität Duisburg-Essen, Essen, Germany
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	Universität Duisburg-Essen, Essen, Germany
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	Universität Duisburg-Essen, Essen, Germany
Stephane Goutte	Université Paris, Paris, France
Tiziano Vargiolu	Universita' di Padova, Padua, Italy