Lehrveranstaltungen im SS 17
The topic of this term’s energy trading seminar is:
Empirical microstructure of the intraday power market for deliveries in the German-Austrian market area run by EPEX SPOT SE
Participants are required to write a seminar paper on their chosen topic and give a short presentation by the end of the term. Each participant’s topic will be agreed upon based on adequacy and personal interest. Participants are encouraged to choose a topic which involves quantitative work with Matlab, R or Python.
- Chapter 1 from Algorithmic and High-Frequency Trading, Á. Cartea, S. Jaimungal, J. Penalva, 2015
- Chapters 3 and 4 from High Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, I. Aldridge, 2013
- Market Rules, EPEX SPOT, 2017, downloadable from https://www.epexspot.com/en/<wbr />extras/download-center/<wbr />documentation
- Chapters 3 and 4 from Algorithmic and High-Frequency Trading, Á. Cartea, S. Jaimungal, J. Penalva, 2015
- Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks, A. Madhavan, M. Richardson, M. Roomans, 1997
- Functional Data Analysis with R and Matlab, J.O. Ramsay, G. Hooker, S. Graves, 2009
- The limits of statistical significance of Hawkes processes fitted to financial data, M. Lallouache, D. Chalet, 2015
- An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves, Y. Chen, B. Li, accepted 2015
Preparation of a seminar paper and its presentation.
The first meeting is scheduled for April 26, 2017 14:00 in R09 R00 H43 with the aim of introducing potential topics. Please register for this meeting by email to nikolaus.graf-von-luckner (at) uni-due.de. Allocation of topics is planned to be completed by May 5, 2017. Please note that de-registration and hence avoiding to receive malus points for not handing in a seminar paper is only possible until May 31, 2017.