Energy Finance Christmas Workshop 2016
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 |
| |
| 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 |
| |
| 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 |
| |
| Stephane Goutte | Université Paris, Paris, France | |
| Tiziano Vargiolu | Universita' di Padova, Padua, Italy |