Team

Nikolaus Graf von Luckner

Wissenschaftlicher Mitarbeiter

Nikolaus Graf von Luckner, M.Sc.

Raum:
R09 R00 H37
Telefon:
+49 201 18-36049
Fax:
+49 201 18-34974
E-Mail:
Sprechstunde:
Nach Vereinbarung

Lebenslauf:

since 05/2016: Research Assistant at University of Duisburg-Essen, Chair for Energy Trading and Finance, Prof. Dr. Rüdiger Kiesel

01-02/2017: Academic Visitor at University of Oxford, Mathematical Institute, Dr. Álvaro Cartea

10/2013-04/2016: Student in MSc Energy and Finance at University of Duisburg-Essen

06/2015-11/2015: Master Thesis Collaboration with RWE Supply & Trading, Essen

06/2011-05/2015: Consultant with Pöyry, Düsseldorf

10/2007-04/2011: Student in BSc Business Engineering at Karlsruhe Institute of Technology

Forschungsgebiete:

Spot markets for power with continuous trading, limit order book dynamics, optimal trading strategies

Publikationen:

Filter:
  • A. Blasberg; N. Graf von Luckner; R. Kiesel: Modeling the Serial Structure of the Hawkes Process Parameters for Market Order Arrivals on the German Intraday Power Market. In: 16th International Conference on the European Energy Market (EEM) (2019), S. 1-6. doi:10.1109/EEM.2019.8916326 Volltext BIB Download Details

    Existing research indicates that on the intraday market for power deliveries in Germany market orders tend to arrive in clusters. To capture such clustering, point processes with an intensity depending on past events, so-called Hawkes processes, appear to be promising. We consider the question whether there is a temporal structure prevalent in the parameters of Hawkes processes estimated for adjacent delivery hours. First we model a diurnal seasonality pattern found in the data and provide an economic intepretation for it. For the remaining decomposed series, we then propose simple (vector) autoregressive models to describe the serial structure. To evaluate our model we conduct a forecasting study. Testing against a benchmark model and a model without any serial structure, we find evidence for our proposed model. Our study reveals that capturing the serial structure in the parameters proves to be useful in understanding the underlying market microstructure.

  • S. Glas; R. Kiesel; S. Kolkmann; M. Kremer; N. Graf von Luckner; L. Ostmeier; K. Urban; C. Weber: Intraday renewable electricity trading: Advanced modeling and optimal control. In: I. Faragó; F. Izsák; P. Simon (Hrsg.): Progress in Industrial Mathematics at ECMI 2018. Mathematics in Industry, vol 30. Springer, Cham, 2019, S. 469-475. doi:10.1007/978-3-030-27550-1_59 Volltext BIB Download Details
  • S. Glas; R. Kiesel; S. Kolkmann; M. Kremer; N. Graf von Luckner; L. Ostmeier; K. Urban; C. Weber: Intraday renewable electricity trading: Advanced modeling and numerical optimal control, Working Paper, 2019. Volltext BIB Download Details