Lehrveranstaltungen im SS 17

Seminar

Trading Room Seminar

Dozent:
  • Nikolaus Graf von Luckner, M.Sc.
  • Marcel Kremer, M.Sc.
Ansprechpartner:
Semester:
Sommersemester 2017
Termin:
Wednesday 2-4 pm
Raum:
R09 R00 H43
Beginn:
26.04.2017
Sprache:
englisch

Beschreibung:

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.

Literatur:

Introductory literature:


Further reading:

  • 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

Prüfungsart:

Preparation of a seminar paper and its presentation.

Formalia:

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.